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<PAGE> 1
VANGUARD
INDEX TRUST
ANNUAL REPORT 1995
<PAGE> 2
In this Annual Report, I am delighted to formally introduce you to John J.
Brennan, who, on January 31, 1996, will assume my responsibilities as Chief
Executive Officer of Vanguard Index Trust and the other Funds in The Vanguard
Group. Mr. Brennan will continue to serve as President of the Funds, and I will
continue to serve as Chairman of the Board.
[FIGURE 1]
John J. Brennan John C. Bogle
As a shareholder of the Fund since its inception and as
Chairman of all the Vanguard Funds, I want to tell you that I am enthusiastic
and confident that Jack Brennan is exactly the right person to succeed me as
Chief Executive Officer. To use yet another Vanguard nautical metaphor, he will
be the new captain. He has the qualities of leadership, integrity,
intelligence, and vision that must continue to be Vanguard's hallmark as we
move toward, and then into, the 21st century.
I know that he has these qualities, because Jack Brennan and I
have been working closely together since he joined Vanguard in 1982. He is a
graduate of Dartmouth College and Harvard Business School. He started as
Assistant to the Chairman and, rising like a rocket, became President in 1989.
While, at age 41, he may seem young, he is in fact older than I was when I
became Chief Executive Officer of Vanguard's predecessor organization in 1967,
at the age of 38. Most important of all, Jack is completely dedicated to the
Vanguard character, and believes in our basic mission: serving solely the
shareholder, free of any conflict of interest. He believes in holding our costs
of operation to a minimum, and in retaining our position as the lowest-cost
provider of financial services in the world. He is a true competitor, who
shares Vanguard's dedication to providing highly competitive returns to our
investors relative to the returns provided by other mutual funds with
comparable objectives. He also believes in reporting our results to
shareholders with complete candor. He has the full support of the Board of
Directors and our crew, and is committed to staying the course we have set for
Vanguard. You need have no doubt that the essential elements that drew you to
Vanguard in the first place will remain intact.
As for me, I expect to fill a useful, if less demanding, role
as Chairman of the Board. I shall keep a watchful eye over the interests of our
shareholders, our crew, and our investment policies. I shall also speak out on
industry affairs, reminding all who will listen of the primacy of the interests
of mutual fund shareholders. I will be readily available to provide Jack
Brennan with whatever wisdom I may have acquired during my lifetime of
experience in this wonderful industry and in my service as captain of Vanguard
since I founded this unique organization more than two decades ago.
In short, I'll still be around. Thank you for all your
confidence in me in the past and, in advance, for your continued confidence in
Vanguard under Jack Brennan's leadership.
/s/ JOHN C. BOGLE
VANGUARD INDEX TRUST PROVIDES SIX "MARKET INDEX" PORTFOLIOS: 500 PORTFOLIO -
EXTENDED MARKET PORTFOLIO - TOTAL STOCK MARKET PORTFOLIO - GROWTH PORTFOLIO -
VALUE PORTFOLIO - SMALL CAPITALIZATION STOCK PORTFOLIO. EACH PORTFOLIO IS
DESIGNED TO MATCH THE PERFORMANCE OF ITS CORRESPONDING STOCK INDEX.
<PAGE> 3
CHAIRMAN'S LETTER
FELLOW SHAREHOLDER:
What a splendid way to begin our 20th fiscal year! The 500 Portfolio of
Vanguard Index Trust was among the leading mutual funds in a roaring bull
market, providing a total return of +37.4%--the highest in our history--during
the twelve months ended December 31, 1995. When all was said and done, we
outpaced 85% of all actively managed equity mutual funds. This same competitive
success was manifested almost across-the-board by the other five Portfolios of
the Trust, and all six Portfolios did an excellent job of tracking their target
indexes.
This table shows the total return (capital change plus reinvested
dividends) achieved by our six Portfolios during 1995 compared to the broad
market indexes that comprise our unmanaged standards:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
TOTAL RETURN
-------------------------------
YEAR ENDED
DECEMBER 31, 1995
-------------------------------
VANGUARD COMPARATIVE
PORTFOLIO INDEX*
- ---------------------------------------------------------------------------------
<S> <C> <C>
LARGE-CAP STOCKS
500 PORTFOLIO +37.4% +37.6%
GROWTH PORTFOLIO +38.1 +38.1
VALUE PORTFOLIO +36.9 +37.0
- ---------------------------------------------------------------------------------
MEDIUM- AND SMALL-CAP STOCKS
EXTENDED MARKET PORTFOLIO +33.8% +33.5%
SMALLCAP PORTFOLIO +28.7 +28.4
- ---------------------------------------------------------------------------------
ALL STOCKS
TOTAL STOCK MARKET PORTFOLIO +35.8% +36.4%
- ---------------------------------------------------------------------------------
</TABLE>
* The respective indexes are: the Standard & Poor's 500 Index, the Standard
& Poor's/BARRA Growth and Value Indexes, the Wilshire 4500 Index, the
Russell 2000 Index, and the Wilshire 5000 Index. "Standard & Poor's(R),"
"S&P 500(R)," and "500" are trademarks of The McGraw-Hill Companies, Inc.;
"Wilshire 4500" and "Wilshire 5000" are registered trademarks of Wilshire
Associates; "Russell 2000" is a registered trademark of the Frank Russell
Company.
Detailed per share figures for each Portfolio, including net asset values,
income dividends, and any capital gains distributions, are presented in the
table that follows this letter.
THE STOCK MARKET IN 1995
The great bull market in stocks we enjoyed during the year was virtually
uninterrupted, as stock prices rose in eleven of the past twelve months. The
dimension of the increase was close to record breaking, delighting the bulls
even as it astonished the bears. By year's end, the Standard & Poor's 500
Composite Stock Price Index had generated a total return of +37.6%--its best
year since 1958.
There were, as always, many opinions as to the source of the
surprising strength in the stock market. In my view, it resulted from a
combination of: (1) record-breaking corporate profits; (2) a growing
speculative fever in the marketplace, especially during the final weeks of the
year; and (3) a sharp decline in long-term interest rates. The rise in
corporate profits was particularly striking. It's estimated that operating
earnings for the companies in the Standard & Poor's 500 Index increased about
+15% in 1995, after already rising +16% in 1994. (Since 1926, earnings growth
has averaged less than +7% per year.) If there is a cautionary signal in this
boom in profits, it is that the two-year cumulative earnings growth of +33% has
been accompanied by dividend growth of only +11%.
This subdued dividend growth in the face of sharply higher stock
prices resulted in a decline in the yield on the Index to 2.2%, the lowest
level on record. Nonetheless, the Wall Street chorus sings "this time it's
different." Dividend yield and earnings growth--the two fundamentals of stock
returns--are clearly taking a back seat to the market's high valuation of the
long-term fundamentals. This is called "speculation," and it is hardly an
inconsequential component of 1995's high returns on stocks. So, as 1996 begins,
we face an environment that is surely sobering.
The huge decline in interest rates during the year not only provided a
major stimulus to the stock market but also set bond prices afire. The yield of
the Lehman Long-Term Corporate Bond Index declined from 8.9% to 6.9% during
1995, even below its level of 7.1% at the start of 1994. The 1995 decline drove
long-term bond prices upward by fully +19%, resulting in a total return
(including the interest coupon) of +28%--remarkably competitive with the
1
<PAGE> 4
[FIGURE 2]
return on stocks. Short-term rates also declined as the Federal Reserve reduced
the Federal funds rate (the rate at which banks borrow from one another) in
July and again in December. On balance during the year, the yield on the U.S.
Treasury bill eased from 5.6% to 5.0%.
This improvement in the actual (and expected) interest rate
environment was caused largely by a measurable softening in the growth of the
U.S. economy, perhaps with further weakness to come. A sluggish economy, in
turn, engendered continued optimism about the benign outlook for inflation.
(Indeed, the Consumer Price Index (CPI) was quite well-behaved in 1995, rising
by but +2.6%, its smallest increase since 1986.) Investors should carefully
ponder the extent to which today's high growth rate of corporate earnings is
likely to be sustained in a slowing economy.
THE 1990s SO FAR
During the past year, growth stocks (return of +38.1%) and value stocks
(+37.0%) were relatively equal participants in the great bull market. So far
during the 1990s, as shown in the upper chart to the left, there was little
overall difference between the two investment styles, despite some considerable
year-to-year variations.
In terms of market capitalization, there was a clear progression of
returns during 1995. Large-cap stocks led the way (+37.6%), followed by mid-cap
stocks (+33.5%), followed in turn by small-cap stocks (+28.4%). As shown in the
upper right-hand chart, however, during the 1990s there has been little to
distinguish the three capitalization classes, just as has been the case between
the growth and value objectives.
On this note, you may recall that I mentioned to you one year ago that
the various market segments seem to enjoy cycles of superiority in their
(unpredictable) turns. But, over longer periods, their respective returns tend
to converge. Surely, both the interim and longer-run patterns are demonstrated
in the charts above. As a result, I believe it is fair to
2
<PAGE> 5
conclude that, for most investors, the 500 Portfolio and the Total Stock Market
Portfolio should represent the preferred investment approaches. (The Standard &
Poor's 500 Index comprises about 70% of the total market value of the entire
stock market.)
For investors with particular objectives, our other
Portfolios--Growth, Value, Extended Market, and SmallCap--assure broad
diversification in discrete market segments. To be sure, investors must stick
to their objectives with consistency and firmness, ignoring the siren songs
that suggest that moving money back and forth from one segment to another will
result in a sustainable performance advantage. Such "market timing" is all too
likely to be self-defeating. Whichever of the Trust's six Portfolios you have
selected, the long-term, steady-as-she-goes approach is virtually certain to be
the most productive strategy.
VANGUARD INDEX TRUST IN 1995
The most important fact about 1995 is doubtless that investors in sound,
broadly diversified U.S. equity funds earned very large returns, mostly ranging
from +25% to +40%. These returns reflect a sort of "breakout" from the much
more modest annual gains of about +9% per year that were achieved during the
first five years of the decade. In a market of such force, it is surprising
that the more conservative large-cap funds led the way. Surprising or not, the
Standard & Poor's 500 Index outpaced fully 85% of all general equity mutual
funds in 1995, the highest percentage outperformed since 1972.
But the past year suggests that there is something much more
significant and profound to indexing than an inevitably superficial comparison
of a blue-chip indicator to a broad list of equity funds, many of which offer
stock portfolios peppered with lower-grade and riskier stocks (which, as a
group, earned relatively low, if absolutely high, returns during the year). So,
in an attempt to capture these differences, the table to the right presents a
comparison of our six Portfolios with as close to similar funds as industry
statistical services presently provide.
It should go without saying that the achievement of such giant
absolute returns and such significant relative returns for our Index Portfolios
should not be considered representations of future returns. Indeed, such
results are probably a once-in-a-decade phenomenon. It would not be realistic
to expect that either absolute returns or relative returns of these dimensions
for indexing are any more (or less) than delightful "manna from Heaven" to
enjoy in retrospect.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
TOTAL RETURN
-----------------------------------------------
YEAR ENDED
DECEMBER 31, 1995
- -----------------------------------------------------------------------------------------------
AVERAGE
VANGUARD COMPARABLE
CATEGORY PORTFOLIO FUND* DIFFERENCE
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
LARGE-CAP STOCKS
500 PORTFOLIO +37.4% +31.1% +6.3%
GROWTH PORTFOLIO +38.1 +30.8 +7.3
VALUE PORTFOLIO +36.9 +31.4 +5.5
- -----------------------------------------------------------------------------------------------
MEDIUM- AND SMALL-CAP STOCKS
EXTENDED MARKET
PORTFOLIO +33.8% +30.8% +3.0%
SMALLCAP
PORTFOLIO +28.7 +31.5 -2.8
- -----------------------------------------------------------------------------------------------
ALL STOCKS
TOTAL STOCK MARKET
PORTFOLIO +35.8% +31.1% +4.7%
- -----------------------------------------------------------------------------------------------
</TABLE>
* Respectively, combined average of value and growth objective funds, growth
funds, value funds, growth funds, small-cap funds, and general equity
funds.
That said, we are very pleased with the ability of each of our six Portfolios
to once again closely track their index standards during the past year. As you
can see from the table at the start of this letter, the tracking record
achieved by Vanguard's Core Management Group was very tight indeed. For our
three large-stock Portfolios, essentially composed of liquid, highly marketable
equities, the small shortfalls (-0.2% or less) largely reflect our 0.20%
expense ratio, comprising our costs of doing business, including statements and
reports for shareholder accounts, expenses for accounting, legal, and marketing
services, and our rock bottom advisory costs (0.01% annually!). Since our
portfolio turnover is low and our trades are efficiently executed, our
transaction costs are minimal.
(continued)
3
<PAGE> 6
While the other three Portfolios incur similarly low operating costs,
they may diverge from time to time from their benchmark indexes. One reason is
that these Portfolios do not own all of the securities in their target
universes. (There are 6,927 stocks in the Wilshire 5000 Index. Our Total Stock
Market Portfolio owns roughly 1,900 of these issues.) To hold every stock would
involve substantial additional transaction costs, without commensurately
enhanced diversification. These Portfolios also include a transaction fee that
is paid directly to the Portfolio--or, more precisely, to its existing
shareholders--for the costs of investing the new assets. This transaction fee
is 0.5% for the Extended Market Portfolio and 1.0% for the SmallCap Portfolio.
(The fee of 0.25% was eliminated from the Total Stock Market Portfolio at year
end.) Given the lack of exact precision in our strategy, transaction fees may
marginally add to or detract from a Portfolio's return.
A LONGER-TERM PERSPECTIVE
Some idea of the extraordinary accomplishment of our 500 Portfolio--the first
of the Trust's six Portfolios--during 1995 can be gained by examining the
results of the Standard & Poor's 500 Index over the past 25 years. The chart
below shows the percen-tage of general equity mutual funds outpaced by the
Standard & Poor's 500 Index in each of these years.
You should note that in 1995 the Index touched its all-time high of
85%. (We discussed earlier the reasons for this success.(1)) Overall, the
message is this: the Index rarely outperforms fewer than 30% of the equity
funds and often outperforms more than 70%. To put a finer point on it, this
summary presents the differences:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
PERCENTAGE OF STOCK FUNDS
OUTPACED BY THE NUMBER
STANDARD & POOR'S 500 INDEX OF YEARS
- -----------------------------------------------------------------------------
<S> <C>
LESS THAN 30% 2
30% TO 49% 8
50% TO 70% 5
MORE THAN 70% 10
- -----------------------------------------------------------------------------
</TABLE>
- --------
(1) When we published our booklet The Triumph Of Indexing in early 1995,
little did we know that the year would work out so favorably for index
funds.
[FIGURE 3]
4
<PAGE> 7
In short, the secret of long-term performance success is: (1) not
being very bad very often; (2) accepting the fact that most years will be in
the average range; and (3) frequently being very good. Clearly, 1995 was an
outstanding example of this final factor.
Both the chart and the summary table on the previous page illustrate
the inherent strength of the indexing concept. Nonetheless, I would emphasize,
especially after the superlative 1995 return of the Standard & Poor's 500 Index
relative to most equity funds, that there will be future years when sub-average
returns will (not "may") occur. When such years occur, please don't be
concerned. Indexing is not designed to be a year-to-year phenomenon, but a
rational and productive long-range strategy.
Lest there be any mystery about the "secret" of indexing, the basis of
its success is straightforward. It assumes that: (1) all investors (including
professional managers as a group) will provide the same aggregate gross return
as the stock market as a whole (say, +10% per year); and (2) that the net
returns actually received by investors will equal their gross returns less any
sales charges, advisory fees, other operating expenses, and portfolio turnover
costs. That's really all there is to it.
Since the annual expense ratio for the average equity fund is 1.3% and
its average transaction cost is "guesstimated" at 0.7%, such a fund would incur
total annual costs of 2.0%. In a +10.0% market, then, its net return would be
+8.0%. A Standard & Poor's 500 Index Fund pays no advisory fees, incurs only
minimal operating expenses, and incurs very small transaction costs (because
its portfolio is not actively managed, and is altered only as the stocks in the
Index change).
The record of our 500 Portfolio in recent years suggests that these
total costs can be held to about 0.2% (90% below those of the average fund),
providing a net return to shareholders of +9.8% in a +10.0% market. One
additional factor in our performance advantage results from our minimal cash
reserves position, as compared to roughly 8% of assets invested in cash
reserves for the typical stock fund. In a strong bull market, such as this past
year, any cash holdings erode returns.
As the old saw goes "the proof of the pudding is in the eating." Over
the past decade, the 500 Portfolio of Vanguard Index Trust has outpaced the
average general equity fund by +2.0% per year, remarkably close, to say the
least, to the +1.8% theoretical advantage described above. (Even this example
materially overstates the record of the average equity fund, since it ignores
fund sales charges where applicable, and Federal capital gains taxes, which,
because of the higher turnover in an actively managed stock fund, are usually
substantial.) A chart showing the Portfolio's record for the ten years ended
December 31, 1995, is shown on page 10; the results are summarized in this
table:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
TOTAL RETURN*
--------------------------------------
DECEMBER 31, 1985, TO
DECEMBER 31, 1995
--------------------------------------
FINAL VALUE
AVERAGE OF INITIAL
ANNUAL INVESTMENT
RATE OF $10,000
- ---------------------------------------------------------------------------------------
<S> <C> <C>
500 PORTFOLIO +14.5% $38,840
- ---------------------------------------------------------------------------------------
AVERAGE GENERAL EQUITY FUND +12.5% $32,450
STANDARD & POOR'S 500 INDEX +14.9 39,950
- ---------------------------------------------------------------------------------------
</TABLE>
* Assuming the reinvestment of all income dividends and capital gains
distributions.
The chart reflects both ups and downs in the stock market, and there is no
assurance that the ever-unpredictable markets of the future will provide either
better or worse returns than those presented. During the past decade, the final
value of an initial $10,000 investment in the 500 Portfolio--$38,840--exceeded
the comparable figure for the general equity fund group by $6,390, equivalent
to 64%(!) of the amount initially invested. This large difference shows the
substantial asset accumulation that can result from a combination of seemingly
small enhancements in annual return, plus the power of compounding.
The operating histories of the other Vanguard Index Trust Portfolios
are shorter--and therefore less conclusive--than that of the 500 Portfolio.
Nonetheless, on a relative basis, the early results generally point in the same
favorable direction.
(continued)
5
<PAGE> 8
[FIGURE 4]
The table below summarizes the relative returns of our Portfolios versus their
respective peer groups.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
ANNUALIZED RETURN
INCEPTION MARGIN RELATIVE TO
PORTFOLIO DATE COMPETITIVE FUNDS
- -----------------------------------------------------------------------------
<S> <C> <C>
EXTENDED MARKET 12/21/87 +1.1%
TOTAL STOCK MARKET 4/27/92 +0.7
GROWTH 11/2/92 +0.2
VALUE 11/2/92 +3.9
SMALLCAP 9/11/89* -2.6
- -----------------------------------------------------------------------------
</TABLE>
* Date on which index strategy was adopted.
SOME ACTIVELY MANAGED FUNDS DO BETTER
There are, without question, some actively managed funds that have outpaced the
Standard & Poor's 500 Index over extended periods in the past. And most
investors will, and do, seek them out, no matter how difficult it is to
identify them in advance. Such investors should realize that they face
unfavorable odds against finding funds that will outpace the returns of the
Index, and very long odds against finding funds that will outpace the Index
returns by a significant margin.
To make this point, the chart above compares the returns of the 500
Portfolio over the past decade with those of the 273 diversified mutual funds
following value and growth strategies that were in operation during the full
period. It is startling to see that only 46 of the 273 actively managed funds
outpaced the Index, and 227 did not. The chances of successfully selecting such
a fund, then, would be about one in six.
It is even more startling to see that, if we define a 2% positive or
negative margin as "statistically significant," only 15 of the 273 funds (5%)
achieved a significant advantage, while 129 (47%) incurred a significant
disadvantage. The chances of significantly outperforming, then, were about one
in eighteen. In short, the odds favor indexing. That is no doubt why, in its
August 1995 issue, Money magazine headlined: VANGUARD WINS: "INDEX FUNDS SHOULD
BE THE CORE OF MOST PORTFOLIOS TODAY."
IN SUMMARY
Index investing has received a great deal of attention during 1995. Countless
articles in the general media and in academic journals have endorsed its
6
<PAGE> 9
fundamental merits. The good news is that they're right. The bad news is that
too much of this attention has focused on the extraordinarily superior results
achieved by the index strategy--particularly the success of the Standard &
Poor's 500 Index--in a single year. Much of the success of the 500 Portfolio in
1995 results from the large-cap bias of the index it tracks. In other years,
when small-cap stocks return as market leaders, the 500 Portfolio will likely
underperform the average stock fund. I again caution you, as I did in our last
Semi-Annual Report--to stay off the indexing bandwagon if you seek short-term
performance results.
If you are aboard for the long-term, we welcome you, for we believe
that you are following a prudent course--very broad diversification at low cost
(and without sales loads). But please realize that the stock market's
generosity in 1995 will not frequently recur, and that the superiority of
indexing in a given year will rarely be of such large dimension. As noted
above, there will be years in which more funds outperform the Index than
underperform it.
That said, 1995 was an extraordinarily bountiful year for shareholders
of Vanguard Index Trust. We should all take (only) a moment to bask in the
light of the generous rewards we earned. We should also recognize, however,
that the financial markets are never a "one-way street," and the risks that
exist today in the stock market may well come home to roost in 1996 and erode
our 1995 bounty. Put even more bluntly, shareholders in our 500 Portfolio, for
example, enjoyed an enhancement of nearly +38% in value during the year. With
this gain now behind us, even significant market declines seem unlikely to take
shareholders back to where we were--presumably with satisfaction--just one year
ago.
Under these circumstances, what course of action should the Trust's
shareholders follow? In our Annual Report one year ago, under very different
circumstances, I urged you to "stay the course," despite the lackluster return
provided by equities during the year. Today you should recognize that, despite
the short-term risks of investing, the biggest long-term risks are: (1) failing
to invest in stocks at all; and (2) following an erratic and ever-changing
course. For our part, we intend to manage the Portfolios of Vanguard Index
Trust under the same time-tested indexing strategy we have followed for nearly
a score of years. "Stay the course" proved wise counsel a year ago; I reiterate
it today.
Sincerely,
/s/ JOHN C. BOGLE
- ------------------------
John C. Bogle
Chairman of the Board
January 9, 1996
Note: Mutual fund data from Lipper Analytical Services, Inc.
7
<PAGE> 10
PORTFOLIO STATISTICS
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value Per Share
-------------------------------- Distributions From Dividends Per
December 31, December 31, Net Realized Share From Net
Vanguard Index Trust Portfolio 1994 1995 Capital Gains Investment Income
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
500 . . . . . . . . . . . . . . . . . $42.97 $57.60 $.13 $1.22
EXTENDED MARKET . . . . . . . . . . . 18.52 24.07 .40 .30
TOTAL STOCK MARKET . . . . . . . . . 11.37 15.04 .09 .28
GROWTH . . . . . . . . . . . . . . . 10.28 13.97 -- .20
VALUE . . . . . . . . . . . . . . . . 11.12 14.79 -- .40
SMALL CAPITALIZATION STOCK . . . . . 14.99 18.61 .45 .23
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
8
<PAGE> 11
AVERAGE ANNUAL TOTAL RETURNS
THE AVERAGE ANNUAL TOTAL RETURNS FOR THE PORTFOLIOS (PERIODS ENDED
DECEMBER 31, 1995) ARE AS FOLLOWS:
<TABLE>
<CAPTION>
10 YEARS
-------------------------------------------
INCEPTION TOTAL CAPITAL INCOME
INDEX TRUST PORTFOLIO DATE 1 YEAR 5 YEARS RETURN RETURN RETURN
- --------------------- --------- ------- -------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
500* 8/31/76 +37.40% +16.36% +14.53% +11.11% +3.42%
EXTENDED MARKET** 12/21/87 +33.09 +18.97 +14.83++ +13.03++ +1.80++
TOTAL STOCK MARKET*** 4/27/92 +35.42 +14.57++ -- -- --
GROWTH* 11/2/92 +38.00 +13.32++ -- -- --
VALUE* 11/2/92 +36.89 +17.52++ -- -- --
SMALLCAP+ 10/3/60 +27.40 +20.85 +10.43 + 9.40 +1.03
</TABLE>
* PERFORMANCE FIGURES ARE ADJUSTED FOR THE $10 ANNUAL ACCOUNT MAINTENANCE
FEE.
** PERFORMANCE FIGURES ARE ADJUSTED FOR THE .5% TRANSACTION FEE ON PURCHASES
AND THE $10 ANNUAL ACCOUNT MAINTENANCE FEE.
*** PERFORMANCE FIGURES ARE ADJUSTED FOR THE .25% TRANSACTION FEE ON PURCHASES
AND THE $10 ANNUAL ACCOUNT MAINTENANCE FEE.
+ PERFORMANCE FIGURES ARE ADJUSTED FOR THE 1% TRANSACTION FEE ON PURCHASES
AND THE $10 ANNUAL ACCOUNT MAINTENANCE FEE.
++ ANNUALIZED RETURN SINCE INCEPTION.
ALL OF THESE DATA REPRESENT PAST PERFORMANCE. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT INVESTORS' SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
9
<PAGE> 12
CUMULATIVE PERFORMANCE
[FIGURE 5]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1995
- ------------------------------------------------------------------------------
1 Year 5 Years 10 Years
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
500 PORTFOLIO* +37.40% +16.36% +14.53%
AVERAGE GENERAL EQUITY FUND +31.07 +16.45 +12.49
STANDARD & POOR'S 500 INDEX +37.58 +16.59 +14.86
</TABLE>
* Performance figures are adjusted for the $10 annual account maintenance
fee.
Note: Past performance is not predictive of future performance.
[FIGURE 6]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1995
- ---------------------------------------------------------------------------------
1 Year 5 Years Since Inception*
- ---------------------------------------------------------------------------------
<S> <C> <C> <C>
EXTENDED MARKET PORTFOLIO** +33.09% +18.97% +14.83%
AVERAGE GROWTH FUND +30.79 +15.73 +13.70
WILSHIRE 4500 INDEX +33.48 +19.03 +15.05
</TABLE>
* Inception, December 21, 1987.
** Performance figures are adjusted for the 0.50% portfolio transaction fee
on purchases and the $10 annual account maintenance fee.
Note: Past performance is not predictive of future performance.
10
<PAGE> 13
[FIGURE 7]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1995
- ------------------------------------------------------------------------------
1 Year Since Inception*
- ------------------------------------------------------------------------------
<S> <C> <C>
TOTAL STOCK MARKET PORTFOLIO**+ 35.42% +14.57%
AVERAGE GENERAL EQUITY FUND +31.07 +13.84
WILSHIRE 5000 INDEX +36.45 +15.12
</TABLE>
* Inception, April 27, 1992.
** Performance figures are adjusted for the 0.25% portfolio transaction fee on
purchases and the $10 annual account maintenance fee.
Note: Past performance is not predictive of future performance.
[FIGURE 8]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1995
- ------------------------------------------------------------------------------
1 Year Since Inception*
- ------------------------------------------------------------------------------
<S> <C> <C>
GROWTH PORTFOLIO** +38.00% +13.32%
AVERAGE GROWTH FUND +30.79 +13.14
STANDARD & POOR'S GROWTH INDEX +38.13 +13.55
</TABLE>
* Inception, November 2, 1992.
** Performance figures are adjusted for the $10 annual account maintenance
fee.
Note: Past performance is not predictive of future performance.
11
<PAGE> 14
CUMULATIVE PERFORMANCE (continued)
[FIGURE 9]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1995
- ------------------------------------------------------------------------------
1 Year Since Inception*
- ------------------------------------------------------------------------------
<S> <C> <C>
VALUE PORTFOLIO** +36.89% +17.52%
AVERAGE VALUE FUND +31.36 +13.65
STANDARD & POOR'S VALUE INDEX +36.99 +17.72
</TABLE>
* Inception, November 2, 1992.
** Performance figures are adjusted for the $10 annual account maintenance
fee.
Note: Past performance is not predictive of future performance.
[FIGURE 10]
<TABLE>
<CAPTION>
Average Annual Total Returns--Periods Ended December 31, 1995
- --------------------------------------------------------------------------------------
1 Year 5 Years 10 Years
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
SMALLCAP STOCK PORTFOLIO* +27.40% +20.85% +10.43%
AVERAGE SMALLCAP FUND +31.54 +21.12 +13.07
RUSSELL 2000 INDEX +28.44 +20.99 +11.32
</TABLE>
* Performance figures are adjusted for the 1% portfolio transaction fee on
purchases and the $10 annual account maintenance fee.
Note: Past performance is not predictive of future performance.
12
<PAGE> 15
TOTAL INVESTMENT RETURN TABLE
The following table illustrates the results of a single-share investment in
VANGUARD INDEX TRUST-500 PORTFOLIO since inception through December 31, 1995.
During the period illustrated, stock prices fluctuated widely; these results
should not be considered a representation of the dividend income or capital
gain or loss that may be realized from an investment made in the Portfolio
today.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD PER SHARE DATA TOTAL INVESTMENT RETURN*
- ---------------------------------------------------------------------------------------------------------------------------------
500 Portfolio S&P 500
VALUE WITH INCOME ------------------------------- -------
YEAR ENDED NET ASSET CAPITAL GAINS INCOME DIVIDENDS & CAPITAL Capital Income Total Total
DECEMBER 31 VALUE DISTRIBUTIONS DIVIDENDS GAINS REINVESTED Return Return Return Return
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INITIAL (8/76) $14.15 -- -- $ 14.15 -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
1976 14.73 -- $ .17 14.90 + 4.1% +1.2% + 5.3% + 5.8%
- ----------------------------------------------------------------------------------------------------------------------------------
1977 13.01 -- .57 13.73 -11.7 +3.7 - 8.0 - 7.2
- ----------------------------------------------------------------------------------------------------------------------------------
1978 13.11 -- .65 14.54 + 0.8 +5.0 + 5.8 + 6.5
- ----------------------------------------------------------------------------------------------------------------------------------
1979 14.64 $ .06 .75 17.16 +12.1 +5.9 +18.0 +18.4
- ----------------------------------------------------------------------------------------------------------------------------------
1980 17.84 .53 .83 22.64 +25.5 +6.4 +31.9 +32.4
- ----------------------------------------------------------------------------------------------------------------------------------
1981 15.52 .56 .83 21.46 - 9.8 +4.6 - 5.2 - 4.9
- ----------------------------------------------------------------------------------------------------------------------------------
1982 17.56 .25 .83 25.96 +14.8 +6.1 +20.9 +21.5
- ----------------------------------------------------------------------------------------------------------------------------------
1983 19.70 .71 .87 31.49 +16.2 +5.1 +21.3 +22.5
- ----------------------------------------------------------------------------------------------------------------------------------
1984 19.52 .48 .88 33.45 + 1.5 +4.7 + 6.2 + 6.3
- ----------------------------------------------------------------------------------------------------------------------------------
1985 22.29 1.61 .91 43.89 +26.1 +5.1 +31.2 +31.8
- ----------------------------------------------------------------------------------------------------------------------------------
1986 24.27 2.02 .89 51.82 +14.0 +4.0 +18.0 +18.6
- ----------------------------------------------------------------------------------------------------------------------------------
1987 24.65 .17 .69 54.26 + 2.3 +2.4 + 4.7 + 5.1
- ----------------------------------------------------------------------------------------------------------------------------------
1988 27.18 .32 1.10 63.06 +11.6 +4.6 +16.2 +16.6
- ----------------------------------------------------------------------------------------------------------------------------------
1989 33.64 .75 1.20 82.84 +26.7 +4.6 +31.3 +31.7
- ----------------------------------------------------------------------------------------------------------------------------------
1990 31.24 .10 1.17 80.08 - 6.8 +3.4 - 3.4 - 3.1
- ----------------------------------------------------------------------------------------------------------------------------------
1991 39.32 .12 1.15 104.28 +26.3 +3.9 +30.2 +30.5
- ----------------------------------------------------------------------------------------------------------------------------------
1992 40.97 .10 1.12 112.03 + 4.4 +3.0 + 7.4 + 7.6
- ----------------------------------------------------------------------------------------------------------------------------------
1993 43.83 .03 1.13 123.11 + 7.1 +2.7 + 9.8 +10.1
- ----------------------------------------------------------------------------------------------------------------------------------
1994 42.97 .20 1.17 124.56 - 1.5 +2.6 + 1.1 + 1.3
- ----------------------------------------------------------------------------------------------------------------------------------
1995 57.60 .13 1.22 171.20 +34.4 +3.0 +37.4 +37.6
- ----------------------------------------------------------------------------------------------------------------------------------
LIFETIME +1,099.6% +1,202.8%
- ----------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN +13.7% +14.2%
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Includes reinvestment of income dividends and any capital gains distributions
for both the Portfolio and the Index. Portfolio performance adjusted for the
$10 annual account maintenance fee.
Note: No adjustment has been made for income taxes payable by shareholders on
reinvested income dividends and capital gains distributions.
13
<PAGE> 16
STATEMENT OF NET ASSETS
FINANCIAL STATEMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market
Value
500 PORTFOLIO Shares (000)+
- ---------------------------------------------------------------------------------
COMMON STOCKS
- ---------------------------------------------------------------------------------
<S> <C> <C>
General Electric Co. 6,304,357 $ 453,914
AT&T Corp. 6,008,425 389,046
Exxon Corp. 4,687,028 375,548
The Coca-Cola Co. 4,734,559 351,541
Merck & Co., Inc. 4,663,271 306,610
Philip Morris Cos., Inc. 3,170,593 286,939
Royal Dutch Petroleum Co. ADR 2,023,345 285,545
Procter & Gamble Co. 2,590,483 215,010
Johnson & Johnson 2,444,912 209,346
International Business
Machines Corp. 2,146,636 196,954
* Microsoft Corp. 2,235,591 196,173
Wal-Mart Stores, Inc. 8,665,238 193,885
Intel Corp. 3,108,250 176,393
Mobil Corp. 1,493,164 167,234
PepsiCo, Inc. 2,974,015 166,173
American International
Group, Inc. 1,789,415 165,521
Bristol-Myers Squibb Co. 1,914,344 164,394
BellSouth Corp. 3,749,737 163,114
Hewlett-Packard Co. 1,931,761 161,785
GTE Corp. 3,656,023 160,865
Pfizer, Inc. 2,393,793 150,809
General Motors Corp. 2,821,041 149,163
E.I. du Pont de Nemours & Co. 2,096,088 146,464
Amoco Corp. 1,874,985 134,765
SBC Communications Inc. 2,300,065 132,254
Chevron Corp. 2,461,856 129,247
Federal National Mortgage Assn. 1,029,689 127,810
Motorola, Inc. 2,226,138 126,890
Abbott Laboratories, Inc. 2,983,448 124,559
Ameritech Corp. 2,090,586 123,345
McDonald's Corp. 2,619,512 118,205
Ford Motor Co. 4,054,138 117,570
Eli Lilly & Co. 2,081,687 117,095
The Walt Disney Co. 1,973,197 116,419
American Home Products Corp. 1,180,346 114,494
Bell Atlantic Corp. 1,650,569 110,382
Citicorp 1,604,378 107,894
Minnesota Mining &
Manufacturing Co. 1,583,901 104,933
The Boeing Co. 1,295,215 101,512
BankAmerica Corp. 1,396,501 90,423
Gillette Co. 1,674,977 87,308
NYNEX Corp. 1,612,811 87,092
Kimberly-Clark Corp. 1,051,124 86,981
Eastman Kodak Co. 1,290,203 86,444
Home Depot, Inc. 1,799,752 86,163
Columbia/HCA Healthcare Corp. 1,680,273 85,274
Unilever NV ADR 604,055 85,021
Chrysler Corp. 1,443,972 79,960
Texaco Inc. 996,907 78,257
* Cisco Systems, Inc. 1,032,872 77,078
Schering-Plough Corp. 1,387,324 75,956
Travelers Group Inc. 1,204,358 75,724
American Express Co. 1,828,317 75,647
Pharmacia & Upjohn, Inc. 1,901,288 73,675
Capital Cities/ABC, Inc. 580,843 71,662
NationsBank, Inc. 1,019,261 70,966
Allstate Corp. 1,692,318 69,597
Dow Chemical Co. 988,107 69,538
* Oracle Corp. 1,640,400 69,307
Emerson Electric Co. 847,385 69,274
Atlantic Richfield Co. 606,905 67,215
MCI Communications Corp. 2,558,274 66,835
Anheuser-Busch Co., Inc. 959,906 64,194
U S WEST Communications Group 1,777,029 63,529
Kellogg Co. 820,684 63,398
Schlumberger Ltd. 912,947 63,222
Southern Co. 2,514,340 61,916
* Viacom International Class B 1,290,756 61,150
Lockheed Martin Corp. 756,002 59,724
* Amgen, Inc. 1,003,986 59,486
Sara Lee Corp. 1,827,300 58,245
Sears, Roebuck & Co. 1,471,438 57,386
Federal Home Loan
Mortgage Corp. 682,289 56,971
J.P. Morgan & Co., Inc. 709,201 56,913
Campbell Soup Co. 940,670 56,440
First Data Corp. 841,459 56,273
Xerox Corp. 407,117 55,775
Banc One Corp. 1,476,931 55,754
Chemical Banking Corp. 943,788 55,448
Time Warner, Inc. 1,457,591 55,206
WMX Technologies Inc. 1,830,220 54,678
Pacific Telesis Group 1,617,136 54,376
Monsanto Co. 435,083 53,298
* AirTouch Communications 1,868,225 52,777
Sprint Corp. 1,316,484 52,495
Computer Associates
International, Inc. 912,081 51,875
Union Pacific Corp. 775,999 51,216
AlliedSignal Inc. 1,067,606 50,711
Warner-Lambert Co. 509,893 49,523
* Tele-Communications Inc.
Class A 2,463,949 48,971
The Seagram Co. Ltd. 1,408,378 48,765
Medtronic, Inc. 872,533 48,753
* COMPAQ Computer Corp. 1,003,241 48,156
General Re Corp. 309,621 47,991
First Chicago NBD Corp. 1,210,871 47,829
H.J. Heinz Co. 1,394,123 46,180
Pacific Gas & Electric Co. 1,601,828 45,452
</TABLE>
14
<PAGE> 17
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ---------------------------------------------------------------------------------
<S> <C> <C>
Norwest Corp. 1,332,564 $ 43,975
Caterpillar, Inc. 745,518 43,799
Baxter International, Inc. 1,044,580 43,742
- ---------------------------------------------------------------------------------
TOTAL--100 LARGEST STOCKS 10,970,789
- ---------------------------------------------------------------------------------
United Technologies Corp. 460,488 43,689
Rockwell International Corp. 819,435 43,328
Raytheon Co. 914,784 43,224
United Healthcare Corp. 659,413 43,192
Burlington Northern Santa Fe Corp. 536,014 41,809
The Dun & Bradstreet Corp. 639,178 41,387
Northern Telecom Ltd. 958,429 41,212
The Chase Manhattan Corp. 675,431 40,948
J.C. Penney Co., Inc. 852,201 40,586
Automatic Data Processing, Inc. 543,492 40,354
May Department Stores Co. 941,273 39,769
Wells Fargo & Co. 182,170 39,349
First Interstate Bancorp. 286,786 39,146
McDonnell Douglas Corp. 422,864 38,903
Norfolk Southern Corp. 489,836 38,881
PNC Bank Corp. 1,202,953 38,795
Colgate-Palmolive Co. 549,520 38,604
Fleet Financial Group, Inc. 927,782 37,807
CPC International, Inc. 550,176 37,756
Nike, Inc. Class B 539,584 37,569
ConAgra, Inc. 900,053 37,127
Texas Instruments, Inc. 712,667 36,881
The Bank of New York Co., Inc. 754,999 36,806
Duke Power Co. 773,218 36,631
* Digital Equipment Corp. 567,855 36,414
International Paper Co. 960,888 36,394
CSX Corp. 794,417 36,245
Enron Corp. 949,770 36,210
Archer-Daniels-Midland Co. 2,001,114 36,020
First Union Corp. 643,157 35,776
Aluminum Co. of America 668,887 35,367
Barrick Gold Corp. 1,333,680 35,176
Texas Utilities Co. 852,408 35,055
Loews Corp. 444,761 34,858
Deere & Co. 988,613 34,849
General Mills, Inc. 598,658 34,573
PPG Industries, Inc. 739,966 33,853
Merrill Lynch & Co., Inc. 663,249 33,826
* U S WEST Media Group 1,779,231 33,805
Phillips Petroleum Co. 989,462 33,765
Tenneco, Inc. 673,156 33,405
Weyerhaeuser Co. 767,336 33,187
* Sun Microsystems, Inc. 717,002 32,713
Gannett Co., Inc. 529,183 32,479
KeyCorp 893,638 32,394
FPL Group, Inc. 697,861 32,363
The Chubb Corp. 328,533 31,786
AMP, Inc. 821,344 31,519
Albertson's, Inc. 953,699 31,353
Micron Technology Inc. 779,196 30,876
American Brands, Inc. 684,980 30,567
* Boston Scientific Corp. 620,130 30,386
Dean Witter Discover & Co. 637,539 29,964
Aetna Life & Casualty Co. 431,446 29,878
SCEcorp 1,680,772 29,834
CIGNA Corp. 286,623 29,594
SunTrust Banks, Inc. 431,108 29,531
Wachovia Corp. 642,880 29,412
Mellon Bank Corp. 533,319 28,666
American Electric Power Co., Inc. 703,078 28,475
Consolidated Edison Co.
of New York, Inc. 886,835 28,379
Public Service Enterprise
Group Inc. 923,559 28,284
Walgreen Co. 929,018 27,754
Corning, Inc. 865,300 27,690
Unocal Corp. 932,819 27,168
Dominion Resources, Inc. 654,892 27,014
American General Corp. 772,971 26,957
Pitney Bowes, Inc. 571,942 26,881
U.S. Healthcare, Inc. 579,457 26,872
Unicom Corp. 810,588 26,547
Alcan Aluminium Ltd. 850,138 26,461
* Applied Materials, Inc. 673,142 26,421
Illinois Tool Works, Inc. 443,693 26,178
The Goodyear Tire & Rubber Co. 575,304 26,104
Occidental Petroleum Corp. 1,201,015 25,672
Mattel, Inc. 833,543 25,631
PECO Energy Corp. 837,790 25,238
Entergy Corp. 859,629 25,144
Ralston-Purina Group 399,718 24,932
Marsh & McLennan Cos., Inc. 276,167 24,510
Westinghouse Electric Corp. 1,479,878 24,418
UST Inc. 729,578 24,350
First Bank System, Inc. 489,919 24,312
Houston Industries, Inc. 991,432 24,042
Georgia-Pacific Corp. 346,565 23,783
Hercules, Inc. 420,964 23,732
Browning-Ferris Industries, Inc. 802,502 23,674
Morgan Stanley Group, Inc. 293,084 23,630
The Limited, Inc. 1,351,670 23,485
ITT Corp. 440,457 23,344
Honeywell, Inc. 479,273 23,305
First Fidelity Bancorp. 308,694 23,268
Wrigley (Wm.) Jr. Co. 438,410 23,017
Loral Corp. 650,456 23,010
* CUC International, Inc. 673,938 22,998
The Gap, Inc. 544,095 22,852
R.R. Donnelley & Sons Co. 579,798 22,830
</TABLE>
15
<PAGE> 18
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ---------------------------------------------------------------------------------
<S> <C> <C>
PacifiCorp 1,072,955 $ 22,800
* Toys R Us, Inc. 1,031,024 22,425
Sysco Corp. 687,743 22,352
- ---------------------------------------------------------------------------------
TOTAL--200 LARGEST STOCKS 14,102,574
- ---------------------------------------------------------------------------------
Air Products & Chemicals, Inc. 421,852 22,253
* Cabletron Systems, Inc. 271,622 22,001
Halliburton Co. 431,742 21,857
Household International, Inc. 369,403 21,841
Placer Dome Group, Inc. 902,200 21,766
W.R. Grace & Co. 367,287 21,716
Barnett Banks, Inc. 366,132 21,602
Textron, Inc. 319,424 21,561
* AMR Corp. 288,140 21,394
* ITT Hartford Group, Inc. 440,457 21,307
USX-Marathon Group 1,084,811 21,154
Lincoln National Corp. 392,374 21,090
ALLTEL Corp. 713,465 21,047
* Federated Department Stores 763,487 20,996
Winn Dixie Stores, Inc. 568,489 20,963
Conrail, Inc. 295,660 20,696
Fluor Corp. 313,328 20,680
MBNA Corp. 560,536 20,670
Tyco International Ltd. 576,445 20,536
Dayton-Hudson Corp. 271,194 20,340
Lowes Cos., Inc. 606,175 20,307
Central & South West Corp. 726,233 20,244
International Flavors
& Fragrances, Inc. 418,836 20,104
Morton International, Inc. 559,950 20,088
Carolina Power & Light Co. 580,813 20,038
Boatmen's Bancshares, Inc. 487,883 19,942
CoreStates Financial Corp. 526,378 19,937
Bankers Trust New York Corp. 296,999 19,750
* Novell, Inc. 1,398,052 19,747
Bank of Boston Corp. 423,514 19,588
Union Carbide Corp. 518,106 19,429
Alco Standard Corp. 424,188 19,354
Avon Products, Inc. 256,113 19,305
TRW, Inc. 247,502 19,181
Masco Corp. 606,166 19,018
Genuine Parts Co. 463,656 19,010
Hershey Foods Corp. 292,233 18,995
U.S. Bancorp 566,777 18,987
Eastman Chemical 303,168 18,986
DTE Energy Co. 547,751 18,897
Nucor Corp. 330,159 18,860
Transamerica Corp. 257,899 18,794
Burlington Resources, Inc. 477,811 18,754
Becton, Dickinson & Co. 248,867 18,665
Amerada Hess Corp. 351,074 18,607
National City Corp. 555,799 18,411
* 3 Com Corp. 390,135 18,190
CINergy Corp. 591,244 18,107
Marriott International 472,554 18,075
Service Corp. International 409,437 18,015
Praxair, Inc. 527,909 17,751
St. Paul Cos., Inc. 319,062 17,748
Great Lakes Chemical Corp. 244,325 17,591
Pioneer Hi Bred International 315,110 17,528
* The Kroger Co. 466,620 17,498
The Quaker Oats Co. 506,419 17,471
Comerica, Inc. 432,381 17,349
Williams Cos., Inc. 383,295 16,817
Dresser Industries, Inc. 688,903 16,792
* Silicon Graphics, Inc. 608,159 16,724
* Humana, Inc. 610,843 16,722
The McGraw-Hill Cos. 188,842 16,453
Rohm & Haas Co. 254,910 16,410
SAFECO Corp. 475,474 16,404
Phelps Dodge Corp. 261,588 16,284
Union Electric Co. 385,477 16,094
Newmont Mining Corp. 355,315 16,078
* DSC Communications Corp. 435,426 16,056
Consolidated Natural Gas Co. 352,462 15,993
Freeport-McMoRan Copper
& Gold Inc. Class B 567,976 15,974
H & R Block, Inc. 394,355 15,971
Baltimore Gas & Electric Co. 556,794 15,869
* LSI Logic Corp. 483,219 15,825
Dover Corp. 428,702 15,808
* Federal Express Corp. 213,275 15,756
Panhandle Eastern Corp. 565,187 15,755
Eaton Corp. 292,925 15,708
* Tenet Healthcare Corp. 754,544 15,657
Newell Co. 598,420 15,484
General Public Utilities Corp. 452,500 15,385
Champion International Corp. 364,315 15,301
Rubbermaid, Inc. 594,211 15,152
UNUM Corp. 274,735 15,110
PP&L Resources Inc. 600,395 15,010
Cooper Industries, Inc. 407,121 14,962
Inco Ltd. 449,052 14,931
American Stores Co. 556,705 14,892
Whirlpool Corp. 278,791 14,846
Tribune Co. 241,970 14,790
Coastal Corp. 396,335 14,763
* Computer Sciences Corp. 210,012 14,753
Apple Computer, Inc. 463,106 14,704
Providian Corp. 359,384 14,645
Dow Jones & Co., Inc. 366,404 14,610
Ingersoll-Rand Co. 411,050 14,438
Times Mirror Co. Class A 423,899 14,360
* Crown Cork & Seal Co., Inc. 342,025 14,280
Delta Air Lines, Inc. 193,097 14,265
</TABLE>
16
<PAGE> 19
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ---------------------------------------------------------------------------------
<S> <C> <C>
Salomon, Inc. 401,549 $ 14,255
The Clorox Co. 197,276 14,130
- ---------------------------------------------------------------------------------
TOTAL--300 LARGEST STOCKS 15,890,581
- ---------------------------------------------------------------------------------
General Dynamics Corp. 237,695 14,054
Reynolds Metals Co. 239,458 13,559
Ohio Edison Co. 575,839 13,532
Republic New York Corp. 212,115 13,178
Great Western Financial Corp. 515,787 13,153
Sherwin-Williams Co. 321,866 13,116
Baker Hughes, Inc. 532,959 12,991
Interpublic Group of Cos., Inc. 295,302 12,809
W.W. Grainger, Inc. 191,960 12,717
VF Corp. 240,926 12,709
Southwest Airlines Co. 542,709 12,618
Union Camp Corp. 264,722 12,607
Kmart Corp. 1,733,863 12,571
Northern States Power Co. 255,555 12,554
Jefferson-Pilot Corp. 268,739 12,496
Nordstrom, Inc. 310,003 12,478
Kerr-McGee Corp. 194,776 12,368
* Tellabs, Inc. 334,174 12,364
Golden West Financial Corp. 221,363 12,230
Torchmark Corp. 270,210 12,227
Melville Corp. 396,497 12,192
Dillard Department Stores Class A 426,669 12,160
Northrop Grumman Corp. 186,540 11,939
Engelhard Corp. 543,706 11,826
H.F. Ahmanson & Co. 443,404 11,750
Premark International, Inc. 231,001 11,694
Willamette Industries, Inc. 208,644 11,684
Pall Corp. 431,932 11,608
Sonat, Inc. 325,569 11,598
Knight-Ridder, Inc. 185,348 11,584
Harcourt General, Inc. 274,840 11,509
Black & Decker Corp. 324,609 11,442
* St. Jude Medical, Inc. 264,087 11,290
* Price/Costco Inc. 736,017 11,224
Hilton Hotels Corp. 182,388 11,217
Dana Corp. 382,697 11,194
Laidlaw Inc. Class B 1,087,992 11,152
Rite Aid Corp. 316,126 10,827
New York Times Co. Class A 364,008 10,784
Westvaco Corp. 383,138 10,632
Johnson Controls, Inc. 154,499 10,622
The Mead Corp. 203,037 10,609
ITT Industries, Inc. 440,457 10,571
Mallinckrodt Group, Inc. 289,662 10,536
The Dial Corp. 355,048 10,518
* National Semiconductor Corp. 465,761 10,363
* Ceridian Corp. 249,497 10,292
Hasbro, Inc. 330,913 10,258
Circuit City Stores, Inc. 366,991 10,138
* Western Atlas Inc. 200,427 10,122
Avery Dennison Corp. 200,735 10,062
Tandy Corp. 241,291 10,014
Louisiana-Pacific Corp. 406,981 9,869
Comcast Corp. Class A Special 536,834 9,730
USX-U.S. Steel Group 312,315 9,604
Parker Hannifin Corp. 279,279 9,565
Brown-Forman Corp. Class B 260,458 9,507
Raychem Corp. 166,343 9,461
* Harrah's Entertainment, Inc. 387,347 9,393
* FMC Corp. 138,543 9,369
Temple-Inland Inc. 211,819 9,347
Beneficial Corp. 200,097 9,330
Sigma Aldrich Corp. 188,188 9,315
Federal Paper Board Co., Inc. 178,079 9,238
Whitman Corp. 395,683 9,200
Cyprus Amax Minerals Co. 350,789 9,164
Deluxe Corp. 311,858 9,044
Pacific Enterprises 319,637 9,030
Wendy's International, Inc. 412,013 8,755
Brunswick Corp. 362,158 8,692
Armstrong World Industries Inc. 139,027 8,620
* Owens-Corning Fiberglas Corp. 192,036 8,618
The Stanley Works 167,066 8,604
Bausch & Lomb, Inc. 215,848 8,553
Ashland Inc. 240,623 8,452
* Columbia Gas Systems, Inc. 190,918 8,377
Manor Care Inc. 235,758 8,252
Maytag Corp. 406,229 8,226
Echlin, Inc. 225,165 8,219
Reebok International Ltd. 290,149 8,197
Homestake Mining Co. 520,678 8,136
Harris Corp. 148,064 8,088
SuperValu Inc. 256,482 8,079
Polaroid Corp. 170,521 8,078
Allergan, Inc. 243,329 7,908
Sun Co., Inc. 285,174 7,807
American Greetings Corp. Class A 281,514 7,777
Cooper Tire & Rubber Co. 315,768 7,776
Liz Claiborne, Inc. 279,441 7,754
* Biomet, Inc. 435,152 7,724
* ALZA Corp. 311,370 7,706
Nalco Chemical Co. 252,842 7,617
James River Corp. 310,863 7,500
Pennzoil Co. 174,874 7,388
Ryder System, Inc. 297,765 7,370
Ecolab, Inc. 243,902 7,317
Caliber System Inc. 147,500 7,209
USF&G Corp. 422,308 7,126
Worthington Industries, Inc. 342,564 7,108
Darden Restaurants Inc. 598,391 7,106
- ---------------------------------------------------------------------------------
TOTAL--400 LARGEST STOCKS 16,904,628
- ---------------------------------------------------------------------------------
</TABLE>
17
<PAGE> 20
STATEMENT OF NET ASSETS (continued)
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ---------------------------------------------------------------------------------
<S> <C> <C>
Giant Food, Inc. Class A 223,907 $ 7,053
Moore Corp. Ltd. 376,743 7,017
* Fruit of the Loom, Inc. 286,435 6,982
Millipore Corp. 169,156 6,957
C.R. Bard, Inc. 213,857 6,897
Snap-On Inc. 152,252 6,889
The BF Goodrich Co. 98,195 6,690
Woolworth Corp. 502,139 6,528
Advanced Micro Devices, Inc. 393,538 6,493
Comcast Corp. Class A 368,742 6,453
Mercantile Stores Co., Inc. 139,061 6,432
Foster Wheeler Corp. 151,272 6,429
Boise Cascade Corp. 181,695 6,291
Tektronix, Inc. 126,336 6,206
Paccar, Inc. 146,672 6,160
Harnischfeger Industries Inc. 183,376 6,097
Autodesk, Inc. 177,375 6,031
Santa Fe Pacific Gold Corp. 495,778 6,011
Pep Boys (Manny, Moe & Jack) 233,974 5,996
Perkin-Elmer Corp. 158,298 5,976
* Bethlehem Steel Corp. 423,187 5,925
National Service Industries, Inc. 181,344 5,871
General Signal Corp. 178,045 5,764
* Varity Corp. 153,819 5,711
* Andrew Corp. 145,917 5,581
Cummins Engine Co., Inc. 150,712 5,576
Thomas & Betts Corp. 75,442 5,564
Freeport-McMoRan Copper
& Gold Inc. Class A 194,483 5,446
Louisiana Land & Exploration Co. 125,685 5,389
Teledyne Inc. 209,335 5,364
* King World Productions, Inc. 137,937 5,362
* Oryx Energy Co. 394,185 5,272
NICOR, Inc. 189,940 5,223
Niagara Mohawk Power Corp. 541,713 5,214
Stone Container Corp. 359,838 5,173
TJX Cos., Inc. 271,769 5,130
Bemis Co., Inc. 199,504 5,112
ASARCO, Inc. 159,537 5,105
Echo Bay Mines Ltd. 477,045 4,949
Pittston Services Group 156,910 4,923
Briggs & Stratton Corp. 110,766 4,804
EG & G, Inc. 196,360 4,762
Shared Medical Systems Corp. 87,004 4,698
* Tandem Computers, Inc. 438,617 4,660
Inland Steel Industries, Inc. 183,337 4,606
United States Surgical Corp. 214,529 4,585
McDermott International, Inc. 204,293 4,494
The Timkin Co. 117,260 4,485
Fleetwood Enterprises, Inc. 173,146 4,458
Potlatch Corp. 109,867 4,395
Scientific-Atlanta, Inc. 289,566 4,343
Consolidated Freightways, Inc. 163,654 4,337
Meredith Corp. 103,548 4,336
Crane Co. 113,845 4,198
ENSERCH Corp. 258,199 4,196
Peoples Energy Corp. 131,246 4,167
NorAm Energy Corp. 468,113 4,154
Russell Corp. 146,987 4,079
Ogden Corp. 184,437 3,942
* Beverly Enterprises Inc. 370,719 3,939
USLIFE Corp. 129,957 3,882
* Amdahl Corp. 449,618 3,822
Centex Corp. 106,832 3,712
Longs Drug Stores, Inc. 75,595 3,619
* Unisys Corp. 643,384 3,619
Alberto-Culver Co. Class B 104,670 3,598
Jostens Inc. 144,239 3,498
Pulte Corp. 100,807 3,390
Safety-Kleen Corp. 216,502 3,383
Cincinnati Milacron, Inc. 128,159 3,364
* Viacom International Class A 71,693 3,289
Great Atlantic & Pacific
Tea Co., Inc. 142,943 3,288
* Santa Fe Energy Resources, Inc. 337,791 3,251
Alexander & Alexander
Services, Inc. 166,211 3,158
Adolph Coors Co. Class B 142,194 3,146
Ball Corp. 114,073 3,137
Trinova Corp. 109,426 3,132
* Rowan Cos., Inc. 316,861 3,129
* USAir Group, Inc. 235,767 3,124
Springs Industries Inc. Class A 75,288 3,115
* Navistar International Corp. 281,285 2,953
Fleming Cos., Inc. 140,825 2,904
Helmerich & Payne, Inc. 92,764 2,760
* Intergraph Corp. 172,547 2,718
Eastern Enterprises 75,587 2,664
* Bally Entertainment Corp. 176,802 2,475
John H. Harland Co. 114,585 2,392
* Cray Research, Inc. 95,568 2,365
* Armco, Inc. 397,543 2,334
ONEOK, Inc. 101,237 2,316
Giddings & Lewis, Inc. 129,095 2,098
Community Psychiatric Centers 161,527 1,979
Luby's Cafeterias, Inc. 87,625 1,950
* Data General Corp. 140,104 1,926
NACCO Industries, Inc. Class A 33,647 1,867
Kaufman & Broad Home Corp. 121,774 1,811
Midlantic Corp. 26,000 1,706
* Shoney's Inc. 153,454 1,573
Outboard Marine Corp. 74,042 1,509
Stride Rite Corp. 183,292 1,375
* Ryan's Family Steak Houses, Inc. 197,944 1,361
</TABLE>
18
<PAGE> 21
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- ---------------------------------------------------------------------------------
<S> <C> <C>
Yellow Corp. 104,283 $ 1,289
Charming Shoppes, Inc. 378,513 1,064
Brown Group, Inc. 66,437 947
Zurn Industries, Inc. 33,878 724
Handleman Co. 123,443 710
Bay Networks 2,200 90
* Zenith Electronics Corp. 699 5
- ---------------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.9%)(1)
(Cost $12,852,628) 17,347,029
- ---------------------------------------------------------------------------------
TEMPORARY CASH INVESTMENTS (.5%)
- ---------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
(000)
------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.33%, 3/21/96 $ 3,000 2,968
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.89%, 1/2/96 92,232 92,232
- ---------------------------------------------------------------------------------
TOTAL TEMPORARY CASH
INVESTMENTS (Cost $95,199) 95,200
- ---------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.4%)
(Cost $12,947,827) 17,442,229
- ---------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.4%)
- ---------------------------------------------------------------------------------
Other Assets--Notes B and E 182,009
Liabilities--Note E (252,403)
----------
(70,394)
- ----------------------------------------------------------------------------------
NET ASSETS (100%)
- ---------------------------------------------------------------------------------
Applicable to 301,573,850 outstanding
shares of beneficial interest
(unlimited authorization) $17,371,835
- ---------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $57.60
=================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's 500
Index futures contracts represents 100.2% of net assets.
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1995,
NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amount Per
(000) Share
------------ -----------
<S> <C> <C>
Paid in Capital--Note C $12,851,432 $42.61
Undistributed Net
Investment Income 15,127 .05
Accumulated Net
Realized Gains--Note C 11,106 .04
Unrealized Appreciation
(Depreciation)--Note D: -- --
Investment Securities 4,494,402 14.90
Futures Contracts (232) --
- ---------------------------------------------------------------------------------
NET ASSETS $17,371,835 $57.60
- ---------------------------------------------------------------------------------
</TABLE>
19
<PAGE> 22
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
EXTENDED TOTAL STOCK
500 PORTFOLIO MARKET PORTFOLIO MARKET PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
December 31, 1995 December 31, 1995 December 31, 1995
(000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . $ 323,413 $ 18,633 $ 25,537
Interest . . . . . . . . . . . . . 11,204 2,790 2,099
- -----------------------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . 334,617 21,423 27,636
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . $ 24 $ 47 $ 47
Management and Administrative . . . . 21,488 2,559 2,389
Marketing and Distribution . . . . . . 2,624 24,136 224 2,830 260 2,696
---------- -------- ---------
Taxes (other than income taxes) . . . . . 440 46 37
Custodian Fees . . . . . . . . . . . . . 199 88 88
Auditing Fees . . . . . . . . . . . . . 30 10 10
Shareholders' Reports . . . . . . . . . . 777 69 47
Annual Meeting and Proxy Costs . . . . . 205 17 16
Trustees' Fees and Expenses . . . . . . . 46 5 4
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . 25,833 3,065 2,898
- -----------------------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . 308,784 18,358 24,738
- -----------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . 191,808 39,747 6,827
Futures Contracts . . . . . . . . . . . . 32,545 7,513 6,555
- -----------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . 224,353 47,260 13,382
- -----------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . . . . 3,461,633 280,526 302,489
Futures Contracts . . . . . . . . . . . . (187) (933) (430)
- -----------------------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation) 3,461,446 279,593 302,059
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . $3,994,583 $345,211 $340,179
===================================================================================================================================
</TABLE>
The Statements of Net Assets for the Extended Market, Total Stock Market,
Growth, Value, and Small Capitalization Stock Portfolios, an integral part of
the financial statements for each Portfolio, and the Report of Independent
Accountants, are included as an insert to this Report.
20
<PAGE> 23
<TABLE>
<CAPTION>
SMALL
GROWTH VALUE CAPITALIZATION
PORTFOLIO PORTFOLIO STOCK PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended
December 31, 1995 December 31, 1995 December 31, 1995
(000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Dividends . . . . . . . . . . . . . $ 3,025 $ 12,021 $ 12,223
Interest . . . . . . . . . . . . . 104 106 1,865
- ---------------------------------------------------------------------------------------------------------------------------------
Total Income . . . . . . . . . . 3,129 12,127 14,088
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services . . . . . $ 24 $ 24 $ 47
Management and Administrative . . . . 221 565 1,589
Marketing and Distribution . . . . . . 32 277 86 675 159 1,795
----- ----- ------
Taxes (other than income taxes) . . . . . 4 21 28
Custodian Fees . . . . . . . . . . . . . 14 14 19
Auditing Fees . . . . . . . . . . . . . 8 8 10
Shareholders' Reports . . . . . . . . . . 14 29 58
Annual Meeting and Proxy Costs . . . . . 4 7 17
Trustees' Fees and Expenses . . . . . . . 1 1 3
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses . . . . . . . . . 322 755 1,930
- ---------------------------------------------------------------------------------------------------------------------------------
Net Investment Income . . . . 2,807 11,372 12,158
- ---------------------------------------------------------------------------------------------------------------------------------
REALIZED NET GAIN
Investment Securities Sold . . . . . . . 2,744 11,250 28,751
Futures Contracts . . . . . . . . . . . . 36 35 4,174
- ---------------------------------------------------------------------------------------------------------------------------------
Realized Net Gain . . . . . . 2,780 11,285 32,925
- ---------------------------------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities . . . . . . . . . . 43,854 91,742 142,509
Futures Contracts . . . . . . . . . . . . (22) -- (371)
- ---------------------------------------------------------------------------------------------------------------------------------
Change in Unrealized
Appreciation (Depreciation) 43,832 91,742 142,138
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
Resulting from Operations . $49,419 $114,399 $187,221
=================================================================================================================================
</TABLE>
21
<PAGE> 24
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
EXTENDED
500 PORTFOLIO MARKET PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED Year Ended YEAR ENDED Year Ended
DECEMBER 31, December 31, DECEMBER 31, December 31,
1995 1994 1995 1994
(000) (000) (000) (000)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . $ 308,784 $ 238,474 $ 18,358 $ 14,445
Realized Net Gain (Loss) . . . . . . . . . . 224,353 75,156 47,260 7,145
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . 3,461,446 (203,909) 279,593 (40,984)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations . . . . . . . . . . 3,994,583 109,721 345,211 (19,394)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . (329,358) (241,914) (18,335) (14,306)
Realized Net Gain . . . . . . . . . . . . . (38,412) (41,182) (24,450) (14,532)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . (367,770) (283,096) (42,785) (28,838)
- ---------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . 24,573 6,612 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular . . . . . . . . . . 5,153,184 2,253,167 258,976 162,133
--In Lieu of Cash Distributions 333,373 253,074 38,420 25,477
--Exchange . . . . . . . . . . 1,023,145 497,745 74,712 51,221
Redeemed --Regular . . . . . . . . . . (1,682,108) (1,303,119) (72,650) (108,180)
--Exchange . . . . . . . . . . (463,446) (450,500) (45,966) (43,095)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . 4,364,148 1,250,367 253,492 87,556
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . 8,015,534 1,083,604 555,918 39,324
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . 9,356,301 8,272,697 967,295 927,971
- ---------------------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . $ 17,371,835 $ 9,356,301 $ 1,523,213 $ 967,295
=================================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . $1.22 $1.17 $.30 $.28
Realized Net Gain . . . . . . . . . . $.13 $.20 $.40 $.29
- ---------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . 119,957 63,748 14,948 11,027
Issued in Lieu of Cash Distributions . 6,165 5,861 1,617 1,361
Redeemed . . . . . . . . . . . . . (42,269) (40,646) (5,530) (7,918)
- ---------------------------------------------------------------------------------------------------------------------------------
83,853 28,963 11,035 4,470
- ---------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . $ 15,127 $ 11,128 $ 15 $ (8)
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
22
<PAGE> 25
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO GROWTH PORTFOLIO
- -----------------------------------------------------------------------------------------------------------------------------
YEAR ENDED Year Ended YEAR ENDED Year Ended
DECEMBER 31, December 31, DECEMBER 31, December 31,
1995 1994 1995 1994
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . $ 24,738 $ 15,394 $ 2,807 $ 1,309
Realized Net Gain (Loss) . . . . . . . . . . 13,382 2,020 2,780 (605)
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . 302,059 (17,224) 43,832 1,364
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . 340,179 190 49,419 2,068
- -----------------------------------------------------------------------------------------------------------------------------
Distributions (1)
Net Investment Income . . . . . . . . . . . (25,383) (16,257) (2,809) (1,375)
Realized Net Gain . . . . . . . . . . . . . (9,220) (2,045) -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . (34,603) (18,302) (2,809) (1,375)
- -----------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . 1,408 765 153 72
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular . . . . . . . . . . 494,694 297,642 109,160 28,295
--In Lieu of Cash Distributions 30,454 15,575 2,521 1,230
--Exchange . . . . . . . . . . 77,695 54,505 62,976 23,523
Redeemed --Regular . . . . . . . . . . (78,011) (41,032) (14,341) (6,206)
--Exchange . . . . . . . . . . (46,611) (35,941) (22,247) (12,061)
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . 478,221 290,749 138,069 34,781
- -----------------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . 785,205 273,402 184,832 35,546
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . 785,684 512,282 86,170 50,624
- -----------------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . $1,570,889 $785,684 $271,002 $86,170
=============================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . $.28 $.27 $.20 $.21
Realized Net Gain . . . . . . . . . . $.09 $.03 -- --
- -----------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . 42,692 30,586 13,833 5,100
Issued in Lieu of Cash Distributions . 2,142 1,360 197 121
Redeemed . . . . . . . . . . . . . (9,484) (6,692) (3,005) (1,805)
- -----------------------------------------------------------------------------------------------------------------------------
35,350 25,254 11,025 3,416
- -----------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed)
Net Investment Income . . . . . . $ 623 $ (140) $ 142 $ (9)
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE> 26
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
VALUE PORTFOLIO STOCK PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED Year Ended YEAR ENDED February 1* to
DECEMBER 31, December 31, DECEMBER 31, December 31,
1995 1994 1995 1994
(000) (000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income . . . . . . . . . . . $ 11,372 $ 9,443 $ 12,158 $ 7,747
Realized Net Gain (Loss) . . . . . . . . . . 11,285 (656) 32,925 11,761
Change in Unrealized Appreciation
(Depreciation) . . . . . . . . . . . . . 91,742 (12,580) 142,138 (43,795)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations . . 114,399 (3,793) 187,221 (24,287)
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS (1)
Net Investment Income . . . . . . . . . . . (11,989) (9,813) (11,543) (8,533)
Realized Net Gain . . . . . . . . . . . . . -- (3,804) (22,583) (14,353)
- ------------------------------------------------------------------------------------------------------------------------------
Total Distributions . . . . . . . (11,989) (13,617) (34,126) (22,886)
- ------------------------------------------------------------------------------------------------------------------------------
NET EQUALIZATION CREDITS--Note A . . . . . . . 772 439 -- --
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (2)
Issued --Regular . . . . . . . . . . 132,139 98,962 206,544 126,799
--In Lieu of Cash Distributions 10,456 12,449 30,822 20,700
--Exchange . . . . . . . . . . 52,818 121,956 89,797 57,267
Redeemed --Regular . . . . . . . . . . (31,073) (30,216) (57,721) (42,135)
--Exchange . . . . . . . . . . (68,124) (79,362) (56,680) (43,471)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase from
Capital Share Transactions . . 96,216 123,789 212,762 119,160
- ------------------------------------------------------------------------------------------------------------------------------
Total Increase . . . . . . . . . 199,398 106,818 365,857 71,987
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period . . . . . . . . . . . . 296,929 190,111 605,376 533,389
- ------------------------------------------------------------------------------------------------------------------------------
End of Period (3) . . . . . . . . . . . . . $496,327 $296,929 $971,233 $605,376
==============================================================================================================================
(1) Distributions Per Share
Net Investment Income . . . . . . . . $.40 $.38 $.23 $.22
Realized Net Gain . . . . . . . . . . -- $.16 $.45 $.37
- ------------------------------------------------------------------------------------------------------------------------------
(2) Shares Issued and Redeemed
Issued . . . . . . . . . . . . . 13,982 19,012 16,951 11,690
Issued in Lieu of Cash Distributions . 761 1,092 1,676 1,405
Redeemed . . . . . . . . . . . . . (7,889) (9,604) (6,821) (5,550)
- ------------------------------------------------------------------------------------------------------------------------------
6,854 10,500 11,806 7,545
- ------------------------------------------------------------------------------------------------------------------------------
(3) Undistributed (Overdistributed) .
Net Investment Income . . . . . . . . $ 195 $ 40 $ 49 $ (566)
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* See Note F to Financial Statements.
24
<PAGE> 27
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
500 PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------
For a Share Outstanding Throughout Each Year 1995 1994 1993 1992 1991
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR . . . . . . $42.97 $43.83 $40.97 $39.32 $31.24
------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . 1.22 1.18 1.13 1.12 1.15
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . 14.76 (.67) 2.89 1.75 8.20
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . 15.98 .51 4.02 2.87 9.35
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . (1.22) (1.17) (1.13) (1.12) (1.15)
Distributions from Realized Capital Gains . . (.13) (.20) (.03) (.10) (.12)
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . (1.35) (1.37) (1.16) (1.22) (1.27)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR . . . . . . . . . $57.60 $42.97 $43.83 $40.97 $39.32
=============================================================================================================
TOTAL RETURN* . . . . . . . . . . . . . . . . . +37.45% +1.18% +9.89% +7.42% +30.22%
- -------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Year (Millions) . . . . . . . $17,372 $9,356 $8,273 $6,547 $4,345
Ratio of Expenses to Average Net Assets . . . . . .20% .19% .19% .19% .20%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . 2.38% 2.72% 2.65% 2.81% 3.07%
Portfolio Turnover Rate . . . . . . . . . . . . . 4%+ 6%+ 6%+ 4%+ 5%+
- -------------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect the annual account maintenance fee of
$10.
+ Portfolio turnover rates excluding in-kind redemptions were 2%, 4%, 2%, 1%,
and 1%, respectively.
25
<PAGE> 28
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
EXTENDED MARKET PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------
For a Share Outstanding Throughout Each Year 1995 1994 1993 1992 1991
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR . . . . . . . $18.52 $19.43 $17.35 $15.82 $11.48
------ ------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . .30 .28 .23 .24 .25
Net Realized and Unrealized Gain (Loss)
on Investments . . . . . . . . . . . . . . 5.95 (.62) 2.28 1.72 4.54
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . 6.25 (.34) 2.51 1.96 4.79
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . (.30) (.28) (.23) (.25) (.25)
Distributions from Realized Capital Gains . . (.40) (.29) (.20) (.18) (.20)
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . (.70) (.57) (.43) (.43) (.45)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF YEAR . . . . . . . . . $24.07 $18.52 $19.43 $17.35 $15.82
=============================================================================================================
TOTAL RETURN* . . . . . . . . . . . . . . . . . +33.80% -1.76% +14.49% +12.47% +41.85%
- -------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Year (Millions) . . . . . . . $1,523 $967 $928 $585 $372
Ratio of Expenses to Average Net Assets . . . . . .25% .20% .20% .20% .19%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . 1.51% 1.51% 1.48% 1.73% 2.14%
Portfolio Turnover Rate . . . . . . . . . . . . . 15% 19% 13% 9% 11%
- -------------------------------------------------------------------------------------------------------------
</TABLE>
* Total return figures do not reflect transaction fees (0.5% in 1995, 1.0% in
1991 through 1994) on purchases or the annual account maintenance fee of $10.
26
<PAGE> 29
<TABLE>
<CAPTION>
TOTAL STOCK MARKET PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
Year Ended December 31,
------------------------------ March 16 to
For a Share Outstanding Throughout Each Period 1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $11.37 $11.69 $10.84 $10.00
------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . .29 .27 .26 .23
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . 3.75 (.29) .88 .84
------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . 4.04 (.02) 1.14 1.07
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . (.28) (.27) (.26) (.23)
Distributions from Realized Capital Gains . . (.09) (.03) (.03) --
------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . (.37) (.30) (.29) (.23)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $15.04 $11.37 $11.69 $10.84
=============================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . +35.79% -0.17% +10.62% +10.41%
- -------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . $1,571 $786 $512 $275
Ratio of Expenses to Average Net Assets . . . . . .25% .20% .20% .21%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . 2.14% 2.35% 2.31% 2.42%*
Portfolio Turnover Rate . . . . . . . . . . . . . 3% 2% 1% 3%
- -------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the .25% transaction fee on purchases or
the annual account maintenance fee of $10. Subscription period for the
Portfolio was from March 16, 1992, to April 26, 1992, during which time all
assets were held in money market instruments. Performance measurement
begins on April 27, 1992.
27
<PAGE> 30
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
Year Ended December 31,
------------------------------ November 2 to
For a Share Outstanding Throughout Each Period 1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $10.28 $10.20 $10.26 $10.00
------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . .21 .21 .21 .06
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . 3.68 .08 (0.06) .26
------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . 3.89 .29 .15 .32
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . (.20) (.21) (.21) (.06)
Distributions from Realized Capital Gains . . -- -- -- --
------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . (.20) (.21) (.21) (.06)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $13.97 $10.28 $10.20 $10.26
=============================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . +38.06% +2.89% +1.53% +3.19%
- -------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . $271 $86 $51 $21
Ratio of Expenses to Average Net Assets . . . . . .20% .20% .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . 1.71% 2.08% 2.10% 2.85%*
Portfolio Turnover Rate . . . . . . . . . . . . . 24% 28% 36% 2%
- -------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
28
<PAGE> 31
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- -------------------------------------------------------------------------------------------------------------
Year Ended December 31,
------------------------------ November 2 to
For a Share Outstanding Throughout Each Period 1995 1994 1993 December 31, 1992
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . . $11.12 $11.74 $10.30 $10.00
------ ------ ------ ------
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . .41 .38 .38 .07
Net Realized and Unrealized Gain
(Loss) on Investments . . . . . . . . . . 3.66 (.46) 1.50 .30
------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS . . . 4.07 (.08) 1.88 .37
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . (.40) (.38) (.38) (.07)
Distributions from Realized Capital Gains . . -- (.16) (.06) --
------ ------ ------ ------
TOTAL DISTRIBUTIONS . . . . . . . . . (.40) (.54) (.44) (.07)
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . . $14.79 $11.12 $11.74 $10.30
=============================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . +36.94% -0.73% +18.35% +3.70%
- -------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . $496 $297 $190 $24
Ratio of Expenses to Average Net Assets . . . . . .20% .20% .20% 0%*
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . 3.06% 3.37% 3.26% 3.46%*
Portfolio Turnover Rate . . . . . . . . . . . . . 27% 32% 30% 4%
- -------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Total return figures do not reflect the annual account maintenance fee of
$10.
29
<PAGE> 32
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
SMALL CAPITALIZATION STOCK PORTFOLIO(1)
- -----------------------------------------------------------------------------------------------------------------------------------
YEAR ENDED Feb. 1 to Oct. 1, 1993 Year Ended September 30,
DECEMBER 31, Dec. 31, to Jan. 31, ---------------------------------
For a Share Outstanding Throughout Each Period 1995 1994 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD . . . . . $14.99 $16.24 $16.23 $12.63 $12.03 $8.55
------ ------ ------ ------ ------ -----
INVESTMENT OPERATIONS
Net Investment Income . . . . . . . . . . . . .24 .20 .05 .20 .19 .20
Net Realized and Unrealized
Gain (Loss) on Investments . . . . . . . . 4.06 (.86) .96 3.73 .88 3.60
------ ------ ------ ------ ------ -----
TOTAL FROM INVESTMENT OPERATIONS . . . 4.30 (.66) 1.01 3.93 1.07 3.80
- -----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income . . . . (.23) (.22) (.18) (.18) (.18) (.18)
Distributions from Realized Capital Gains . . (.45) (.37) (.82) (.15) (.29) (.14)
------ ------ ------ ------ ------ -----
TOTAL DISTRIBUTIONS . . . . . . . . . (.68) (.59) (1.00) (.33) (.47) (.32)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD . . . . . . . . $18.61 $14.99 $16.24 $16.23 $12.63 $12.03
===================================================================================================================================
TOTAL RETURN** . . . . . . . . . . . . . . . . . +28.74% -4.00% +6.65% +31.60% +9.34% +45.91%
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------
Net Assets, End of Period (Millions) . . . . . . $971 $605 $533 $432 $202 $111
Ratio of Expenses to Average Net Assets . . . . . .25% .17%* .18%* .18% .18% .21%
Ratio of Net Investment Income to
Average Net Assets . . . . . . . . . . . . . 1.58% 1.50%* 1.16%* 1.47% 1.65% 2.11%
Portfolio Turnover Rate . . . . . . . . . . . . . 28% 25% 5% 26% 26% 33%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Results prior to January 31, 1994, are for the former Vanguard Small
Capitalization Stock Fund. See Note F to Financial Statements.
* Annualized.
** Total return figures do not reflect the 1% transaction fee on purchases or
the annual account maintenance fee of $10.
30
<PAGE> 33
NOTES TO FINANCIAL STATEMENTS
Vanguard Index Trust is registered under the Investment Company Act of 1940 as
a diversified open-end investment company, and consists of the 500, Extended
Market, Total Stock Market, Growth, Value, and Small Capitalization Stock
Portfolios.
A. The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such
policies are consistently followed by the Trust in the preparation of financial
statements.
1. SECURITY VALUATION: Securities listed on an exchange are valued at the
latest quoted sales prices as of the close of the New York Stock Exchange
(generally 4:00 PM) on the valuation date; securities not traded are valued
at the mean of the latest quoted bid and asked prices. Unlisted securities
held by the 500, Growth, and Value Portfolios are valued at the latest
quoted bid prices; such securities held by the Extended Market, Total Stock
Market, and Small Capitalization Stock Portfolios are valued at the mean of
the latest quoted bid and asked prices. Temporary cash investments acquired
over sixty days to maturity are valued utilizing the latest quoted bid
prices and on the basis of a matrix system (which considers such factors as
security prices, yields, maturities, and ratings), both as furnished by
independent pricing services. Other temporary cash investments are valued at
amortized cost which approximates market value.
2. FEDERAL INCOME TAXES: Each Portfolio of the Trust intends to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income taxes is required in
the financial statements.
3. EQUALIZATION: The 500, Total Stock Market, Growth, and Value Portfolios
follow the accounting practice known as "equalization," under which a
portion of the price of capital shares issued and redeemed, equivalent to
undistributed net investment income per share on the date of the
transaction, is credited or charged to undistributed income. As a result,
undistributed income per share is unaffected by Portfolio share sales or
redemptions.
4. REPURCHASE AGREEMENTS: The Trust, along with other members of The Vanguard
Group of Investment Companies, transfers uninvested cash balances into a
Pooled Cash Account, the daily aggregate of which is invested in repurchase
agreements secured by U.S. Government obligations. Securities pledged as
collateral for repurchase agreements are held by a custodian bank until
maturity of each repurchase agreement. Provisions of each agreement require
that the market value of this collateral is sufficient in the event of
default; however, in the event of default or bankruptcy by the other party
to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings.
5. FUTURES: The Trust utilizes index futures contracts to a limited extent,
with the objectives of maintaining full exposure to the stock market,
enhancing returns, maintaining liquidity, and minimizing transaction costs.
A Portfolio may purchase futures contracts to immediately position incoming
cash in the market, thereby simulating a fully invested position in the
underlying index while maintaining a cash balance for liquidity. In the
event of redemptions, a Portfolio may pay redeeming shareholders from its
cash balance and reduce its futures position accordingly. Returns may be
enhanced by using futures contracts instead of the underlying securities
when futures are believed to be priced more attractively than the underlying
securities.
Futures contracts based upon the following indexes are used: Standard &
Poor's 500 Index (500 and Total Stock Market Portfolios), New York Stock
Exchange Composite Index (Extended Market and Small Capitalization Stock
Portfolios), Standard & Poor's Midcap 400 Index (Extended Market, Total
Stock Market, and Small Capitalization Stock Portfolios), Standard & Poor's
31
<PAGE> 34
NOTES TO FINANCIAL STATEMENTS (continued)
Growth Index (Growth Portfolio), Standard & Poor's Value Index (Value
Portfolio), and Russell 2000 Index (Small Capitalization Stock Portfolio).
The primary risks associated with the use of futures contracts are imperfect
correlation between changes in market values of stocks contained in the
underlying indexes and the prices of futures contracts, and the possibility
of an illiquid market. Futures contracts are valued based upon their quoted
daily settlement prices. Fluctuations in the values of futures contracts are
recorded as unrealized appreciation (depreciation) until terminated, at
which time realized gains (losses) are recognized. Unrealized appreciation
(depreciation) related to open futures contracts is required to be treated
as realized gain (loss) for Federal income tax purposes.
6. OTHER: Security transactions are accounted for on the date the securities
are purchased or sold. Costs used in determining realized gains and losses
on the sale of investment securities are those of specific securities sold.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Capital gains distributions are determined on a tax basis
and may differ from realized capital gains for financial reporting purposes
depending on the timing of realization of gains.
B. The Vanguard Group, Inc. furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the Trust under methods approved by the Board of
Trustees. At December 31, 1995, the Trust had contributed capital of $2,487,000
to Vanguard (included in Other Assets), representing 12.4% of Vanguard's
capitalization. The Trust's officers and trustees are also officers and
directors of Vanguard.
C. During the year ended December 31, 1995, purchases and sales of investment
securities other than U.S. Government securities and temporary cash
investments were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
(000)
----------------------------------
Portfolio Purchases Sales
- --------------------------------------------------------------------------------
<S> <C> <C>
500 $4,912,989 $560,243
EXTENDED MARKET 387,731 174,763
TOTAL STOCK MARKET 488,195 36,905
GROWTH 176,105 38,915
VALUE 194,220 101,000
SMALLCAP 407,618 207,584
- --------------------------------------------------------------------------------
</TABLE>
During the year ended December 31, 1995, the 500 Portfolio realized
$155,832,000 of net capital gains resulting from in-kind redemptions. Such
gains are not taxable income to the Portfolio and therefore will not be
distributed to shareholders; accordingly, such gains have been reclassified
from accumulated net realized gains to paid in capital.
The Growth Portfolio utilized a capital loss carry-forward of $622,000 to
offset taxable capital gains realized during the year ended December 31, 1995.
D. At December 31, 1995, net unrealized appreciation of investment securities
for financial reporting and Federal income tax purposes was:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
(000)
----------------------------------------------
Appreciated Depreciated Net Unrealized
Portfolio Securities Securities Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $4,704,979 $(210,577) $4,494,402
EXTENDED MARKET 460,527 (58,185) 402,342
TOTAL STOCK MARKET 374,387 (41,083) 333,304
GROWTH 47,875 (1,757) 46,118
VALUE 93,707 (6,558) 87,149
SMALLCAP 234,466 (50,659) 183,807
- --------------------------------------------------------------------------------
</TABLE>
32
<PAGE> 35
At December 31, 1995, the aggregate settlement value of open futures contracts
expiring in March 1996, the related unrealized depreciation, and the market
value of securities deposited as initial margin for those contracts were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
(000)
--------------------------------------------
Market Value
Aggregate of Securities
Settlement Unrealized Deposited as
Portfolio Value Depreciation Initial Margin
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
500 $51,022 $(232) $2,968
EXTENDED MARKET 43,692 (463) 495
TOTAL STOCK MARKET 40,152 (314) 1,682
GROWTH 1,671 (22) 198
VALUE 1,631 0 198
SMALLCAP 9,133 (86) 495
- --------------------------------------------------------------------------------
</TABLE>
E. The market value of securities on loan to broker/dealers at December 31,
1995, and cash collateral received with respect to such loans were:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
(000)
-------------------------------------
Market Value Cash
of Loaned Collateral
Portfolio Securities Received
- --------------------------------------------------------------------------------
<S> <C> <C>
500 $29,747 $30,091
EXTENDED MARKET 41,155 43,577
TOTAL STOCK MARKET 11,541 12,233
VALUE 839 858
SMALLCAP 31,369 32,827
- --------------------------------------------------------------------------------
</TABLE>
F. On January 28, 1994, shareholders of Vanguard Small Capitalization Stock
Fund approved the tax-free reorganization of the Fund as the Small
Capitalization Stock Portfolio of Vanguard Index Trust. Such reorganization was
effective January 31, 1994.
33
<PAGE> 36
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees
Vanguard Index Trust-500 Portfolio
In our opinion, the accompanying statement of net assets and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the 500 Portfolio of Vanguard Index Trust (the "Fund") at December 31, 1995,
and the results of its operations, the changes in its net assets and the
financial highlights for each of the respective periods presented, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities by correspondence with the custodian and brokers and the application
of alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis for the opinion expressed above.
We have also audited the financial statements of the other Portfolios included
in the Fund at December 31, 1995, and we have issued an unqualified opinion
thereon. An insert to this Annual Report containing our report on the financial
statements of the other Portfolios is available from the Fund.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1996
34
<PAGE> 37
SPECIAL TAX INFORMATION
SPECIAL 1995 TAX INFORMATION (UNAUDITED)
FOR VANGUARD INDEX TRUST
Corporate shareholders should note that for the fiscal year ended December 31,
1995, the percentage of investment income (i.e., dividend income plus
short-term capital gains, where applicable) which qualifies for the
intercorporate dividends received deduction is as follows:
<TABLE>
<S> <C>
500 Portfolio . . . . . . . . . . . . . . . . 97.0%
Extended Market Portfolio . . . . . . . . . . 76.4%
Total Stock Market Portfolio . . . . . . . . . 86.6%
Growth Portfolio . . . . . . . . . . . . . . . 83.6%
Value Portfolio . . . . . . . . . . . . . . . 73.3%
Small Capitalization Portfolio . . . . . . . . 67.2%
</TABLE>
35
<PAGE> 38
TRUSTEES AND OFFICERS
JOHN C. BOGLE, Chairman and Chief Executive Officer
Chairman and Director of The Vanguard Group, Inc.,
and of each of the investment companies in The
Vanguard Group.
JOHN J. BRENNAN, President
President and Director of The Vanguard Group, Inc.,
and of each of the investment companies in The
Vanguard Group.
ROBERT E. CAWTHORN, Chairman of Rhone-Poulenc
Rorer Inc.; Director of Sun Company, Inc.
BARBARA BARNES HAUPTFUHRER, Director of The Great
Atlantic and Pacific Tea Co., Alco Standard Corp.,
Raytheon Co., Knight-Ridder, Inc., and Massachusetts
Mutual Life Insurance Co.
BRUCE K. MacLAURY, President of The Brookings
Institution; Director of American Express Bank Ltd. and
The St. Paul Companies, Inc.
BURTON G. MALKIEL, Chemical Bank Chairman's
Professor of Economics, Princeton University; Director
of Prudential Insurance Co. of America, Amdahl Corp.,
Baker Fentress & Co., The Jeffrey Co., and Southern
New England Communications Co.
ALFRED M. RANKIN, JR., Chairman, President, and
Chief Executive Officer of NACCO Industries, Inc.;
Director of NACCO Industries, The BFGoodrich Co.,
and The Standard Products Co.
JOHN C. SAWHILL, President and Chief Executive Officer
of The Nature Conservancy; formerly, Director and
Senior Partner of McKinsey & Co. and President of New
York University; Director of Pacific Gas and Electric Co.
and NACCO Industries.
JAMES O. WELCH, JR., Retired Chairman of Nabisco
Brands, Inc.; retired Vice Chairman and Director of RJR
Nabisco; Director of TECO Energy, Inc. and Kmart Corp.
J. LAWRENCE WILSON, Chairman and Chief Executive
Officer of Rohm & Haas Co.; Director of Cummins
Engine Co.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY, Secretary; Senior Vice
President and Secretary of The Vanguard Group, Inc.;
Secretary of each of the investment companies in The
Vanguard Group.
RICHARD F. HYLAND, Treasurer; Treasurer of The
Vanguard Group, Inc., and of each of the investment
companies in The Vanguard Group.
KAREN E. WEST, Controller; Vice President of The
Vanguard Group, Inc.; Controller of each of the
investment companies in The Vanguard Group.
OTHER VANGUARD GROUP OFFICERS
ROBERT A. DiSTEFANO IAN A. MacKINNON
Senior Vice President Senior Vice President
Information Technology Fixed Income Group
JEREMY G. DUFFIELD F. WILLIAM McNABB III
Senior Vice President Senior Vice President
Planning & Development Institutional
JAMES H. GATELY RALPH K. PACKARD
Senior Vice President Senior Vice President
Individual Investor Group Chief Financial Officer
36
<PAGE> 39
THE VANGUARD FAMILY OF FUNDS
EQUITY AND BALANCED FUNDS
GROWTH AND INCOME FUNDS
Vanguard/Windsor Fund
Vanguard/Windsor II
Vanguard Equity Income Fund
Vanguard Quantitative Portfolios
Vanguard/Trustees' Equity Fund
U.S. Portfolio
Vanguard Convertible Securities Fund
BALANCED FUNDS
Vanguard/Wellington Fund
Vanguard/Wellesley Income Fund
Vanguard STAR Portfolio
Vanguard Asset Allocation Fund
Vanguard LIFEStrategy Funds
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Specialized Portfolios
Vanguard Horizon Fund
Global Equity Portfolio
Global Asset Allocation Portfolio
Capital Opportunity Portfolio
Aggressive Growth Portfolio
INTERNATIONAL FUNDS
Vanguard International
Growth Portfolio
Vanguard/Trustees' Equity Fund
International Portfolio
INDEX FUNDS
Vanguard Index Trust
500 Portfolio
Total Stock Market Portfolio
Extended Market Portfolio
Growth Portfolio
Value Portfolio
Small Capitalization Stock Portfolio
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
Vanguard Bond Index Fund
Total Bond Market Portfolio
Short-Term Bond Portfolio
Intermediate-Term Bond Portfolio
Long-Term Bond Portfolio
Vanguard International Equity
Index Fund
European Portfolio
Pacific Portfolio
Emerging Markets Portfolio
FIXED INCOME FUNDS
MONEY MARKET FUNDS
Vanguard Money Market Reserves
Vanguard Admiral Fund
U.S. Treasury Money Market Portfolio
TAX-EXEMPT MONEY MARKET FUNDS
Vanguard Municipal Bond Fund
Money Market Portfolio
Vanguard State Tax-Free Funds
Money Market Portfolios
(CA, NJ, OH, PA)
TAX-EXEMPT INCOME FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds
Insured Longer-Term Portfolios
(CA, FL, NJ, NY, OH, PA)
INCOME FUNDS
Vanguard Fixed Income
Securities Fund
Vanguard Admiral Fund
Vanguard Preferred Stock Fund
This Report has been prepared for shareholders and may be distributed to others
only if preceded or accompanied by a current prospectus. All Funds in the
Vanguard Family are offered by prospectus only.
[THE VANGUARD GROUP LOGO]
Vanguard Financial Center
Valley Forge, Pennsylvania 19482
New Account Information:
1 (800) 662-7447
Shareholder Account Services:
1 (800) 662-2739
Q400-12/95
ON OUR COVER: On the evening of August 1, 1798, Lord Horatio Nelson sailed his
flagship, HMS Vanguard, into Egypt's Aboukir Bay. In a night encounter, the
British fleet annihilated Napoleon Bonaparte's ships of the line in what is
still considered to be the most complete victory ever recorded in naval
history. Our Report's cover illustration is Thomas Luny's 1830 painting, The
Battle Of The Nile, in which the French flagship, L'Orient, is shown as it
exploded at 10:00 p.m. under a gibbous moon.
<PAGE> 40
STATEMENT OF NET ASSETS
FINANCIAL STATEMENTS
VANGUARD INDEX TRUST December 31,1995
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- --------------------------------------------------------------------------------
AAR Corp. 28,800 $ 634
* ABT Building Products Corp. 25,000 359
* ACX Technologies Inc. 37,000 560
* ADC Telecommunications, Inc. 45,600 1,659
ADVO, Inc. 28,675 746
* AES Corp. 51,736 1,238
AFLAC, Inc. 73,788 3,201
AGCO Corp. 15,850 808
AK Steel Holding Corp. 17,400 596
AMBAC, Inc. 26,478 1,241
* APAC Teleservices, Inc. 5,900 197
* APS Holding Corp. 22,700 505
ARCO Chemical Co. 73,900 3,593
* AST Research, Inc. 62,097 536
AT&T Capital Corp. 35,500 1,358
* Able Telcom Holding Corp. 52,400 377
* Acceptance Insurance Cos. Inc. 32,200 479
* Access Health Marketing, Inc. 17,300 770
* Acclaim Entertainment Inc. 41,200 512
Aceto Corp. 27,309 427
* Acme Electric Corp. 35,100 320
* Acme Metals, Inc. 26,600 372
* Action Performance Cos., Inc. 49,050 668
* Acuson Corp. 46,238 572
* Acxiom Corp. 14,000 385
* Adaptec, Inc. 43,300 1,775
* Addington Resources, Inc. 29,900 432
Adobe Systems, Inc. 65,733 4,084
* Adtran, Inc. 26,800 1,464
* Advanced Logic Research 45,700 274
* Advanced Mammography
Systems, Inc. 101,475 187
* Advanced Marketing Services 4,600 47
* Advanced NMR Systems, Inc. 127,900 156
* Advanced Polymer Systems 63,300 348
* Advanced Surgical, Inc. 31,800 22
* Advanced Technology
Laboratories, Inc. 42,037 1,035
* Advantage Life Products, Inc. 31,400 65
Advanta Corp. Class A 29,400 1,114
* Agri-Nutrition Group Ltd. 27,100 56
* Air and Water Technologies Corp.
Class A 84,298 516
Airborne Freight Corp. 26,910 716
* Airgas, Inc. 21,400 712
* Airways Corp. 43,700 418
* Alaska Air Group, Inc. 27,600 449
Albany International Corp. 35,800 649
Albemarle Corp. 45,602 884
Alex Brown, Inc. 21,020 883
Alexander & Baldwin, Inc. 30,200 702
* Alexander's, Inc. 8,700 605
Alfa Corp. 50,900 872
* Alleghany Corp. 4,502 891
Allegheny Ludlum Corp. 46,629 863
Allegheny Power System, Inc. 87,800 2,513
The Allen Group, Inc. 24,840 556
* Alliance Gaming 77,200 244
* Alliance Pharmaceutical Corp. 45,000 610
* Alliance Semiconductor Corp. 30,750 354
* Alliant Techsystems, Inc. 11,000 557
Allied Capital Commercial Corp. 27,900 551
* Allied Devices Corp. 11,200 41
Allied Products Corp. 37,100 890
* Allied Waste Industries, Inc. 56,200 393
* Allmerica Financial Corp. 37,174 1,004
Allmerica Property & Casualty Cos. 43,200 1,166
* Allou Health & Beauty, Inc. 48,100 289
* Allwaste, Inc. 95,246 452
* Aloette Cosmetics, Inc. 47,700 113
Alpharma Inc. Class A 27,800 726
* Altera Corp. 32,200 1,600
* Alumax, Inc. 32,200 986
* Amax Gold, Inc. 99,287 720
Amcast Industrial Corp. 21,000 383
* Amerco Inc. 22,300 457
* America Online, Inc. 55,400 2,067
* America West Airlines, Inc. 32,300 549
American Annuity Group Inc. 53,378 634
American Bankers Insurance Group 12,900 506
* American Banknote Corp. 107,200 134
American Financial Group, Inc. 39,400 1,207
* American Freightways 41,200 430
American Insured Mortgage
Investors-Series 86 28,300 368
* American Management
Systems, Inc. 25,417 764
* American Medical Response, Inc. 24,000 780
* American Mobile Satellite Corp., Inc. 31,100 956
</TABLE>
The listings for each of the Portfolios begin on the following pages:
<TABLE>
<S> <C>
EXTENDED MARKET PORTFOLIO . . . . . . . . . . . . . . . . . . . 1
TOTAL STOCK MARKET PORTFOLIO . . . . . . . . . . . . . . . . . 20
GROWTH PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . 39
VALUE PORTFOLIO . . . . . . . . . . . . . . . . . . . . . . . . 41
SMALL CAPITALIZATION STOCK PORTFOLIO . . . . . . . . . . . . . 45
</TABLE>
1
<PAGE> 41
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
American National Insurance Co. 18,550 $ 1,229
* American Oncology Resources, Inc. 13,000 632
* American Power Conversion Corp. 63,500 599
American President Cos., Ltd. 22,754 523
American Re Corp. 32,700 1,337
* American Safety Razor Co. 41,800 337
* American Science &
Engineering, Inc. 4,500 35
* American Software, Inc. Class A 62,750 404
* American Standard Cos., Inc. 54,800 1,534
American Studios, Inc. 32,600 39
* American Travellers Corp. 37,700 1,058
American Water Works Co., Inc. 24,215 941
* Americredit Corp. 60,900 830
Amerigas Partners, L.P. 4,400 107
* Amerisource Health Corp. 16,300 538
Ameron, Inc. 10,700 403
Ametek, Inc. 39,600 743
Amfed Financial, Inc. 13,257 448
Ampco-Pittsburgh Corp. 49,200 529
* Amphenol Corp. 35,000 849
Amre, Inc. 68,500 1,002
* Amrep Corp. 64,600 380
* Amsco International, Inc. 38,400 571
AmSouth Bancorp 44,426 1,794
Amtech Corp. 56,650 297
* Amylin Pharmaceuticals, Inc. 58,800 551
Anadarko Petroleum Corp. 44,500 2,409
* Analog Devices, Inc. 54,496 1,928
* Anchor Gaming 28,700 657
* Andros Inc. 20,600 322
Angelica Corp. 20,200 414
* Anixter International Inc. 40,800 760
* AnnTaylor Stores Corp. 42,000 431
* Antec Corp. 36,300 651
Anthony Industries, Inc. 27,245 627
Aon Corp. 82,052 4,092
Apache Corp. 57,300 1,690
* Apertus Technologies, Inc. 43,500 332
* Aphton Corp. 34,500 336
Apogee Enterprises, Inc. 31,700 543
* Apollo Group, Inc. Class A 13,200 516
Apple South, Inc. 20,500 438
Applebee's International, Inc. 36,000 828
* Applied Bioscience
International, Inc. 71,000 488
* Applix, Inc. 26,000 702
* Apria Healthcare 32,780 934
Aptargroup Inc. 24,200 904
Aquarion Co. 18,303 467
Arbor Drugs, Inc. 34,950 730
Argonaut Group, Inc. 15,419 505
* Argosy Gaming Co. 50,400 378
Arkansas Best Corp. 44,600 348
Armor All Products Corp. 32,000 576
Arnold Industries, Inc. 36,700 647
* Arrow Electronics, Inc. 38,450 1,658
Arrow International, Inc. 20,200 821
* Artisoft, Inc. 39,000 251
Arvin Industries, Inc. 34,000 561
* Ascend Communications, Inc. 41,100 3,337
Ashland Coal Inc. 23,900 511
* Aspect Telecommunications 13,500 451
Associated Estates Realty Corp. 23,500 505
* Associated Group, Inc. 23,628 437
* Associated Group, Inc. Class B 5,775 106
Astro-Med, Inc. 38,150 370
* Astrosystems, Inc. 48,700 283
* Atari Corp. 133,300 183
Guy F. Atkinson Co. of California 37,800 392
Atlanta Gas Light Co. 37,100 733
Atlantic Energy, Inc. 36,900 710
Atlantic Southeast Airlines Inc. 21,500 465
* Atmel Corp. 70,000 1,558
* Atrix Laboratories, Inc. 54,823 418
* Atwood Oceanics, Inc. 29,500 750
* Aurora 45,825 95
* Autotote Corp. 105,300 306
* AutoZone, Inc. 110,400 3,188
Avalon Properties 34,600 744
* Avatar Holding, Inc. 14,900 516
* Avecor Cardiovascular, Inc. 24,000 417
Aviall Inc. 46,500 436
* Avid Technology, Inc. 12,600 240
Avnet, Inc. 31,900 1,428
* Avondale Industries, Inc. 35,200 508
* Aydin Corp. 20,300 307
* Aztar Corp. 72,100 577
* BBN Corp. 27,400 1,127
BHA Group Class A 22,300 304
BHC Communications, Inc. Class A 18,800 1,777
* BISYS Group, Inc. 12,700 387
* BJ Services Co. 26,000 754
BMC Industries, Inc. 57,704 1,342
* BMC Software, Inc. 36,600 1,560
BSB Bancorp, Inc. 24,525 619
* BTG Inc. 31,300 366
BW/IP Inc. 35,300 574
* Baby Superstore, Inc. 12,450 708
* Bachman Information Systems, Inc. 53,700 514
Badger Meter, Inc. 13,000 345
Bairnco Corp. 60,700 349
J. Baker, Inc. 49,200 274
Baldor Electric Co. 35,730 719
Baldwin & Lyons, Inc. Class B 29,400 481
Ballard Medical Products 36,366 650
</TABLE>
2
<PAGE> 42
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Bancorp Hawaii, Inc. 30,101 $ 1,080
Bandag, Inc. 16,662 902
Bandag, Inc. Class A 300 16
Bank South Corp. 44,140 1,346
Bankers Life Holding Corp. 38,700 784
BanPonce Corp. 23,022 896
Banta Corp. 13,150 584
* Barnes & Noble Inc. 23,500 682
Barnwell Industries, Inc. 13,400 216
* Barrett Business Services, Inc. 24,400 363
* Barrett Resources Corp. 28,550 839
* Basin Exploration Inc. 64,198 313
Bassett Furniture Industries, Inc. 23,100 531
Battle Mountain Gold Co. Class A 50,100 420
* Bay Networks 176,515 7,248
* Bay Ridge Bancorp, Inc. 17,700 389
BayBanks, Inc. 13,600 1,333
Bear Stearns Co., Inc. 85,777 1,705
Bearings, Inc. 20,400 597
BeautiControl Cosmetics 34,450 336
Beckman Instruments 18,900 669
* Bed Bath & Beyond, Inc. 23,000 891
* Bel Fuse, Inc. 27,200 289
Belden Inc. 18,200 469
A. H. Belo Corp. Class A 29,200 1,015
* Ben & Jerry's Homemade, Inc.
Class A 26,200 396
* Ben Franklin Retail Stores 6,000 17
* Benson Eyecare Corp. 51,942 467
Benson Financial Corp. 20,000 375
Bergen Brunswig Corp. Class A 35,173 875
W.R. Berkley Corp. 12,800 685
* Berkshire Hathaway 873 28,023
Berkshire Realty Co., Inc. 49,400 475
* Berlitz International, Inc. 29,426 486
Berry Petroleum Class A 42,800 433
* Bertucci's Holding Corp. 52,800 267
* Best Buy, Inc. 32,300 525
Betz Laboratories, Inc. 21,300 873
Bindly Western Industries, Inc. 28,400 483
Binks Manufacturing Co. 15,550 365
* Bio-Rad Labs, Inc. Class A 22,000 935
Biocraft Laboratories 30,400 403
* Biogen, Inc. 25,769 1,578
* Biomatrix, Inc. 45,300 747
* Biospecifics Technology 40,800 158
* Biotechnology General 118,500 544
* Biowhittaker Inc. 48,799 372
Birmingham Steel Corp. 38,850 578
Blair Corp. 16,400 517
E.W. Blanch Holdings, Inc. 24,800 580
Blessings Corp. 37,100 385
Block Drug Co. Class A 14,841 518
Blount International, Inc. 23,400 614
* Blyth Industries, Inc. 20,800 614
Bob Evans Farms, Inc. 26,016 498
* Boise Cascade Office Products Corp. 20,100 859
* Bombay Co. 77,062 491
* Borders Group, Inc. 30,100 557
Borg-Warner Automotive, Inc. 21,600 691
Boston Bancorp 13,200 531
Boston Edison Co. 36,000 1,062
* Boston Market, Inc. 33,200 1,064
* Boston Technology, Inc. 47,500 609
Bowater, Inc. 28,349 1,006
* Boyd Gaming Corp. 39,800 463
W.H. Brady Class A 31,500 835
Breed Technological Inc. 24,200 448
* Brinker International, Inc. 51,863 784
* Broadway & Seymour, Inc. 23,900 382
* Broderbund Software, Inc. 13,500 822
Brooke Group Ltd. 63,500 572
* Brooklyn Bancorp, Inc. 15,900 646
Brooklyn Union Gas Co. 33,850 990
* Brothers Gourmet Coffees, Inc. 76,500 287
Brush Wellman, Inc. 28,200 486
* Buffets Inc. 43,200 605
* Builders Transport, Inc. 33,700 253
* Burlington Coat Factory
Warehouse Corp. 55,650 570
* Burlington Industries 42,000 551
Burlington Resources Coal
Seamgas Royalty Trust 26,200 347
* Burr-Brown Corp. 39,900 1,002
* Bush Boake Allen, Inc. 23,600 646
Bush Industries, Inc. 23,062 453
* CAI Wireless Systems, Inc. 44,430 425
* CAM Designs, Inc. 29,800 250
CBI Industries, Inc. 28,259 929
CCB Financial Corp. 16,300 905
CCH Inc. Class A 6,100 338
CCH Inc. Class B 29,300 1,621
* C-Cor Electronics, Inc. 21,600 502
* C-Cube Microsystems, Inc. 24,700 1,550
* CDW Computer Centers, Inc. 15,300 614
CIPSCO, Inc. 23,400 913
CKE Restaurants Inc. 43,000 688
CMAC Investment Corp. 18,500 814
* CMGI Information Services, Inc. 17,600 1,628
CML Group, Inc. 87,750 450
CMS Energy Corp. 64,739 1,934
* CNA Financial Corp. 46,600 5,289
CPI Corp. 23,300 373
* C-TEC Corp. 10,300 318
* C-TEC Corp. Class B 11,100 343
CWM Mortgage Holdings Inc. 26,600 452
</TABLE>
3
<PAGE> 43
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Cablevision Systems Corp. Class B 10,500 $ 570
Cabot Corp. 28,800 1,552
Cabot Oil & Gas Corp. 36,364 532
* Cadence Design Systems, Inc. 42,750 1,796
* Cadiz Land Co., Inc. 69,400 408
Cal Fed Bancorp Inc. 49,380 778
* Calgene, Inc. 78,100 351
Calgon Carbon Corp. 52,000 624
* California Energy Co. 33,592 655
* California Federal Bank Goodwill
Participation Certificates 5,398 27
Callaway Golf Co. 50,000 1,131
* Callon Peteroleum Co. 31,300 325
Calmat Co. 33,800 617
* Calumet Bancorp, Inc. 13,500 380
* Cambridge Technology Partners 8,200 464
Camco International, Inc. 30,600 857
* Cameron Ashley Building Products 33,200 330
* Canandaigua Wine Co., Inc. Class A 17,400 570
* Canandaigua Wine Co., Inc. Class B 6,375 219
Capital One Financial Corp. 92,752 2,214
Capital Realty Investors Tax Exempt
Fund (Series III) 25,100 339
Capitol American Financial Corp. 27,000 611
Caraustar Industries, Inc. 32,800 664
Cardinal Health, Inc. 47,803 2,617
Caremark International, Inc. 56,600 1,026
Carlisle Co., Inc. 17,500 707
* Carmike Cinemas, Inc. Class A 22,100 497
Carnival Cruise Lines, Inc. 215,228 5,246
Carpenter Technology Corp. 20,400 839
* Carrington Labs Inc. 34,900 1,086
Carter-Wallace, Inc. 62,800 714
* Cascade Communications Corp. 21,100 1,796
Case Corp. 52,700 2,411
Casey's General Stores 41,600 907
Cash America International Inc. 65,400 360
* Casino Magic Corp. 87,900 269
A.M. Castle & Co. 30,525 859
* Castle & Cooke, Inc. 14,933 250
* Catalina Lighting, Inc. 37,300 182
* Catalina Marketing Corp. 11,800 740
* Catellus Development Corp. 99,801 599
Cato Corp. Class A 59,700 459
* Cellegy Pharmaceuticals, Inc. 46,900 240
* Cellular Communications Series A 11,800 591
* Cellular Technical Services Co. 22,325 513
* Celtrix Labs 52,200 134
Center Financial Corp. 39,200 686
Centerior Energy Corp. 108,900 966
Centerpoint Properties Corp. 20,300 469
* Centocor, Inc. 41,800 1,296
* Central Cooperative Bank 27,100 408
Central Fidelity Banks, Inc. 27,550 878
Central Hudson Gas & Electric Corp. 23,400 722
Central Louisiana Electric Co. 27,892 750
Central Maine Power Co. 47,267 679
Central Newspapers Inc. 14,750 463
* Central Sprinkler Corp. 33,425 1,162
Central Vermont Public
Service Corp. 31,000 415
Centura Banks, Inc. 14,800 520
* Century Communications Corp.
Class A 55,281 442
Century Telephone Enterprises, Inc. 42,677 1,355
* Cephalon Inc. 14,000 571
* Cerner Corp. 29,000 595
* Chalone Wine Group Ltd. 56,800 515
Chaparral Steel Co. 54,500 913
Charter One Financial 57,560 1,756
* Chartwell Re Corp. 15,611 340
Chateau Properties, Inc. 17,100 385
* Checkers Drive-In Restaurant 104,400 106
* Checkfree Corp. 19,000 406
* Checkpoint Systems, Inc. 26,900 1,005
Chelsea GCA Realty, Inc. 18,700 561
Chemed Corp. 14,400 560
* Chemical Fabrics Corp. 30,750 623
Chesapeake Corp. of Virginia 24,483 725
* Cheyenne Software, Inc. 31,800 831
* Chic by H.I.S., Inc. 49,800 274
* Chico's Fas, Inc. 42,700 188
Chiquita Brands International, Inc. 35,765 492
* Chiron Corp. 29,605 3,275
* Chock Full O'Nuts Corp. 60,160 316
* Cholestech Corp. 4,800 17
* Chris-Craft Industries, Inc. 20,157 872
* Christiana Cos., Inc. 16,200 365
Church and Dwight, Inc. 30,300 561
Cilcorp, Inc. 17,400 737
Cincinnati Bell, Inc. 50,000 1,738
Cincinnati Financial Corp. 40,255 2,617
Cintas Corp. 33,500 1,499
* Circon Corp. 21,557 435
* Circus Circus Enterprises Inc. 74,159 2,067
* Cirrus Logic 45,600 903
Citizens Banking Corp. 20,900 614
Citizens Corp. 21,900 408
* Citizens Utilities Co. Class A 171,406 2,185
* Citizens Utilities Co. Class B 1,135 14
City National Corp. 54,075 757
Clarcor Inc. 25,700 524
Clayton Homes Inc. 69,879 1,494
* Clean Harbors Inc. 43,500 114
* Clear Channel Communications 23,400 1,033
Cleveland-Cliffs Iron Co. 16,200 664
</TABLE>
4
<PAGE> 44
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* The Clothestime, Inc. 68,400 $ 47
Coachmen Industries, Inc. 26,900 585
* Coast Savings Financial, Inc. 33,600 1,163
* Coastal Physician Group, Inc. 36,700 495
* Cobra Golf, Inc. 25,100 897
Coca-Cola Enterprises, Inc. 95,762 2,562
* Coda Music Technology, Inc. 39,500 183
* Code Alarm, Inc. 27,600 174
Coeur D'Alene Mines Corp. 26,800 459
* Cognex Corp. 28,600 1,001
* Coherent, Inc. 27,423 1,121
* Coleman Inc. 19,100 671
Collagen Corp. 20,803 436
Collective Bancorp, Inc. 29,750 759
* Collins & Aikman Corp. 91,300 605
Colonial Gas Co. 20,940 432
* Coltec Inc. 43,300 503
Columbus Realty Trust 23,900 463
Comair Holdings, Inc. 40,950 1,095
Comdisco, Inc. 37,200 842
Commerce Bancshares, Inc. 26,654 1,016
Commerce Group, Inc. 39,600 817
Commercial Assets 48,800 275
Commercial Federal Corp. 23,100 872
Commercial Metals Co. 23,766 588
Commonwealth Energy Systems 17,000 761
Communications Systems, Inc. 33,400 518
Community First Bankshares 26,458 609
* Community Healthcare Systems 13,800 492
Compass Bancshares Inc. 26,000 853
* Competitive Technologies, Inc. 45,200 387
* CompUSA, Inc. 22,400 697
Computer Data Systems, Inc. 31,200 417
* Computer Horizons Corp. 38,837 1,461
* Computer Outsourcing Services, Inc. 57,600 256
Computer Task Group, Inc. 40,700 804
* Computervision Corp. 39,700 610
* Compuware Corp. 28,500 534
Comsat Corp. 30,300 564
* Concord EFS, Inc. 16,900 706
Conestoga Bancorp, Inc. 22,900 464
* Conmed Corp. 45,000 1,114
* Conner Peripherals, Inc. 37,493 787
Conseco Co., Inc. 14,400 902
* Consilium, Inc. 28,200 338
Consolidated Papers 33,500 1,880
* Consolidated Products Inc. 36,634 547
* Consolidated Stores, Inc. 34,341 747
* Consolidated Technology Group 24,500 7
* Consumer Portfolio Services, Inc. 20,000 369
* Continental Airlines, Inc. 24,000 1,044
* Continental Materials Corp. 35,600 432
* Continental Waste Industries, Inc. 34,333 388
* Continuum Co. 13,600 537
* Converse Inc. 68,933 284
* Copley Pharmaceutical, Inc. 30,517 420
* Coram Healthcare Corp. 90,503 396
* Cordis Corp. 11,900 1,196
Core Industries, Inc. 34,000 438
* Corporate Express, Inc. 34,300 1,029
* Corporate Renaissance Group, Inc. 5,700 56
* Corrections Corp. of America 73,900 2,744
* Cosmetic Center, Inc. Class A 25,100 174
* Cosmetic Center, Inc. Class B 6,900 47
Countrywide Credit Industries, Inc. 77,379 1,683
* Coventry Corp. 27,000 559
* Cox Communications Class A 189,257 3,691
Cracker Barrel Old Country
Stores, Inc. 40,133 695
* Craig Corp. 32,823 324
* Jenny Craig Inc. 44,800 442
Crawford & Co. Class B 44,600 725
* Credence Systems Corp. 18,700 425
* Credit Acceptance Corp. 30,300 621
* Cree Research, Inc. 84,200 1,252
Crescent Real Estate Equities, Inc. 14,800 505
Crestar Financial Corp. 27,202 1,608
Crompton & Knowles Corp. 31,300 415
A.T. Cross Co. Class A 28,800 436
* Crown Central Petroleum Corp.
Class B 28,400 415
Crown Crafts, Inc. 26,940 310
Cullen/Frost Bankers, Inc. 15,130 758
Curtiss-Wright Corp. 11,800 634
* Custom Chrome 21,400 491
* Cygnus Inc. 39,700 883
* Cypress Semiconductor Corp. 64,400 821
* Cypros Pharmaceuticals Corp. 70,900 337
* Cyrix Corp. 23,700 542
* Cytec Industries, Inc. 14,600 911
* Cytogen Corp. 77,500 401
DPL, Inc. 80,575 1,994
DQE Inc. 57,150 1,757
DS Bancor, Inc. 12,568 316
Dames & Moore, Inc. 39,000 473
Danaher Corp. 44,166 1,402
* Darling International, Inc. 15,200 406
Dart Group Corp. Class A 4,700 436
* Data Broadcasting Corp. 46,156 563
* Data Systems & Software, Inc. 33,300 231
* Datascope Corp. 29,000 689
* Datastream Systems, Inc. 22,800 433
* Dataware Technologies, Inc. 32,200 274
Dauphin Deposit Bank & Trust 19,940 578
* Dave and Busters 23,407 287
* Davidson and Associates, Inc. 33,000 718
</TABLE>
5
<PAGE> 45
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Davis Water and Waste
Industry, Inc. 44,200 $ 641
Dean Foods Corp. 27,933 768
Deb Shops, Inc. 83,900 296
DeBartolo Realty Corp. 40,900 532
Dekalb Genetics Corp. Class B 14,300 645
* Dell Computer 73,100 2,545
Delmarva Power & Light Co. 41,800 951
Delta & Pine Land Co. 31,333 1,152
Delta Woodside 58,600 388
Dentsply International 20,100 803
* Department 56 Inc. 18,300 702
Deposit Guaranty Corp. 13,400 601
* Desoto, Inc. 15,900 56
* Destec Energy Inc. 37,001 509
* Detroit Diesel Corp. 34,222 637
Developers Diversified Realty Corp. 23,000 690
Devon Energy Corp. 31,600 806
Dexter Corp. 30,200 713
Diagnostic Products Corp. 23,600 894
* Dial Page, Inc. 31,300 491
* Diamond Multimedia Systems, Inc. 19,800 717
* Diamond Offshore Drilling, Inc. 12,000 405
Diamond Shamrock, Inc. 18,600 481
Diebold, Inc. 23,056 1,277
* Digi International, Inc. 28,750 546
* Digital Microwave Corp. 41,500 410
* Digital Systems Inc. 38,863 503
* Dime Bancorp, Inc. 133,128 1,548
Dimon Inc. 57,350 1,011
* Dionex Corp. 13,300 760
* Discovery Zone, Inc. 17,075 53
Dole Food Co. 44,800 1,568
Dollar General Corp. 48,612 1,009
Donaldson Co., Inc. 28,700 721
Donnelly Corp. 23,850 352
* Donnkenny, Inc. 34,600 625
Douglas & Lomason 26,300 319
* Dove Audio, Inc. 23,600 305
Downey Financial Corp. 27,510 602
* Dravo Corp. 33,961 408
* The Dress Barn, Inc. 45,800 447
* Drexler Technology Corp. 42,200 641
Dreyer's Grand Ice Cream, Inc. 20,900 703
* Drug Emporium, Inc. 74,530 303
* Drypers Corp. 117,100 351
Duke Realty Investments 15,400 483
* Dura Pharmaceuticals, Inc. 26,900 935
Duracell International, Inc. 88,175 4,563
* Duracraft Corp. 17,000 425
Duriron Co., Inc. 30,900 722
Duty Free International Inc. 45,526 728
* EA Engineering Sciences and
Technology Inc. 41,700 167
* EMC Corp. 168,500 2,591
* EP Technologies, Inc. 30,000 429
* ESS Technology, Inc. 23,200 539
* Eagle Finance Corp. 21,500 298
* Eagle Food 24,700 45
* Earth Technology USA 61,900 489
* East Texas Financial Services, Inc. 16,000 264
Eastern Utilities Associates 26,381 623
* Eckerd Corp. 25,800 1,151
* Ecogen Inc. 31,200 44
Ecology and Environment, Inc. 6,925 58
* Edisto Resources Corp. 75,800 540
* Editek Inc. 8,400 24
* Education Alternatives, Inc. 53,800 242
A.G. Edwards & Sons, Inc. 44,498 1,062
* Egghead, Inc. 48,200 310
* El Paso Electric Co. 80,300 28
El Paso Natural Gas 22,832 648
Elcor Corp. 22,600 492
* Electromagnetic Sciences, Inc. 39,100 437
* Electronic Arts 36,700 961
* Electronics for Imaging, Inc. 40,400 1,752
* Eljer Industries, Inc. 59,900 644
Empire District Electric Co. 26,753 478
* Energy Biosystems Corp. 64,000 472
* Energy Conversion Devices, Inc. 34,500 561
Energy North, Inc. 19,872 353
* Energy Ventures Inc. 25,500 644
Engineered Support Systems, Inc. 61,800 409
Enova Corp. 86,300 2,050
Enron Global Power &
Pipelines L.L.C. 26,700 664
Enron Oil & Gas Co. 120,776 2,899
* Ensco International 45,650 1,050
* Envirometrics, Inc. 17,300 52
* Epic Design Technology, Inc. 22,600 475
* Epitope Inc. 30,700 507
Equifax, Inc. 115,140 2,461
The Equitable Cos. 138,900 3,334
Equitable of Iowa Co. 21,000 675
Equitable Resources, Inc. 23,650 739
* Equivest Finance, Inc. 50,075 219
Equity Residential Properties Trust 23,400 717
Essex County Gas Co. 6,400 163
* Esterline Technologies Corp. 36,000 851
Ethyl Corp. 93,804 1,173
* Europa Cruises Corp. 48,700 34
* Evergreen Media Corp. 25,482 815
* Exabyte Corp. 36,000 529
Exide Corp. 13,100 601
</TABLE>
6
<PAGE> 46
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Expeditors International of
Washington, Inc. 21,800 $ 570
* Expert Software Inc. 21,400 302
* Express Scripts 11,200 566
* FHP International Corp. 22,952 648
FHP International Corp. Pfd. A 12,640 337
FMC Gold Co. 117,200 483
* FSI International, Inc. 27,900 561
* FTP Software, Inc. 29,100 846
* Fairchild Corp. 6,700 57
Family Dollar Stores, Inc. 41,200 567
Fastenal Co. 25,900 1,101
Federal-Mogul Corp. 21,900 430
Federal Realty Investment Trust 20,400 464
Federal Signal Corp. 29,437 762
Ferro Corp. 17,775 413
* Fibreboard Corp. 28,600 640
* Fieldcrest Cannon, Inc. 21,600 359
Fifth Third Bancorp 49,400 3,600
* Figgie International Inc. Class A 39,000 412
* Filene's Basement Corp. 97,850 235
Fina Inc. 19,500 985
Financial Security Assurance
Holdings Ltd. 29,300 729
Fingerhut Co. 27,446 381
Finova Group, Inc. 20,700 999
First American Bank Corp. 45,908 2,037
First American Corp. (Tenn.) 17,900 850
First Bancorp of Ohio 26,700 791
First Brands Corp. 13,300 633
First Citizens BancShares Class A 13,100 716
First Colony Corp. 34,600 878
First Commerce Corp. 28,415 904
First Commercial Corp. 15,729 515
First Data Corp. 13,937 932
First Empire State Corp. 4,200 916
First Federal Bancshares of Eau
Claire, Inc. 22,800 348
* First Federal Financial 27,275 385
First Financial Savings Assn. 34,800 792
First Hawaiian, Inc. 26,500 792
First Mississippi Corp. 21,500 570
First National Bank of Gainsville 12,500 397
* First Pacific Networks, Inc. 98,500 123
* First Republic Bancorp, Inc. 26,600 349
First Security Corp. 35,275 1,349
First Tennessee National Corp. 24,600 1,485
First USA Inc. 43,800 1,944
First Virginia Banks, Inc. 25,242 1,054
Firstar Corp. 58,708 2,326
Firstier Financial Inc. 15,884 693
* Firstmiss Gold, Inc. 64,135 1,411
* FIserv, Inc. 30,050 900
* Flagstar Cos. 105,900 318
Flexsteel Industry 31,000 326
FlightSafety International, Inc. 23,000 1,156
Florida East Coast Railway Co. 8,400 573
Florida Progress Corp. 73,200 2,589
Florida Rock Industries, Inc. 17,700 518
* Florsheim Shoe Co. 24,415 93
Flowers Industries, Inc. 35,400 429
Fluke Corp. 14,045 530
Food Lion Inc. Class A 315,450 1,814
Food Lion Inc. Class B 46,105 261
* Foodarama Supermarkets, Inc. 22,400 225
* Fore Systems, Inc. 23,300 1,388
Foremost Corp. of America 15,900 811
* Forest City Enterprise Class A 15,100 489
* Forest Laboratories, Inc. 32,408 1,466
* Fort Howard Corp. 43,600 978
* Foundation Health Co. 41,100 1,767
Fourth Financial Corp. 19,325 787
* FoxMeyer Health Corp. 36,002 963
* Framingham Savings Bank 67,938 284
Franchise Finance Corp. of America 28,100 636
* Franklin Electronic Publishers, Inc. 14,800 437
* Franklin Quest Co. 31,200 608
Franklin Resources Corp. 61,000 3,073
Fredericks of Hollywood, Inc.
Class A 23,100 98
Fredericks of Hollywood, Inc.
Class B 24,132 94
Freeport-McMoRan, Inc. 20,691 766
Fremont General Corp. 23,485 863
* Fretter Inc. 16,628 4
Frisch's Restaurants, Inc. 32,668 294
* Fritz Cos., Inc. 22,800 949
Frontier Corp. 120,744 3,622
H.B. Fuller Co. 19,050 669
Fulton Financial Corp. 28,080 572
Fund American Enterprise
Holding Co. 9,585 714
G & K Services, Inc. 32,325 820
G & L Realty Corp. 34,000 353
GATX Corp. 13,800 671
GEICO Corp. 50,750 3,546
* GST Telecommunications Inc. 13,000 91
Gainsco, Inc. 50,461 574
Arthur J. Gallagher & Co. 21,400 797
* Gander Mountain, Inc. 29,100 202
* Garden Fresh Restaurant Corp. 40,500 268
* Gartner Group, Inc. 31,100 1,489
* Gateway 2000 Inc. 55,600 1,359
* Gaylord Container Corp. 74,800 603
Gaylord Entertainment Class A 65,460 1,817
GenCorp, Inc. 49,500 606
</TABLE>
7
<PAGE> 47
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Genentech, Inc. 88,573 $ 4,694
General Binding Corp. 29,600 588
* General Datacomm Industries, Inc. 33,800 579
General Growth Properties 30,800 639
* General Instrument 98,900 2,312
General Motors Corp. Class E 336,300 17,488
General Motors Corp. Class H 72,600 3,566
* General Nutrition Cos., Inc. 62,600 1,455
* Genetics Institute Inc.
Depository Shares 18,800 1,011
* Geneva Steel Class A 59,500 409
* Genlyte Group, Inc. 47,800 323
Genovese Drug Stores, Inc. Class A 38,777 436
* Genrad, Inc. 76,900 740
* Gensia Inc. 81,800 419
* Gentex Corp. 31,000 686
* Genzyme Corp. 21,338 1,328
* Genzyme Corp. Tissue Repair 28,818 459
Geon Co. 16,800 410
Georgia Gulf Corp. 27,048 832
Gerber Scientific, Inc. 35,900 583
* Geriatric & Medical Cos., Inc. 12,100 28
* Gerrity Oil & Gas Corp. 78,100 312
Getty Petroleum Corp. 32,232 435
* Gibson Greetings, Inc. 30,000 482
* Gilead Sciences, Inc. 48,400 1,561
P.H. Glatfelter Co. 32,000 548
* Glenayre Technologies, Inc. 28,275 1,760
* Glendale Federal 65,848 1,152
* Global DirectMail Corp. 24,000 660
* Global Industrial Technologies, Inc. 36,400 687
* Global Marine, Inc. 115,500 1,011
* Globalink, Inc. 41,100 267
* Gold Reserve Corp. 63,400 349
Golden Enterprises Inc. 47,800 397
* E. Gottschalk & Co., Inc. 48,700 256
Goulds Pumps, Inc. 27,791 693
Graco, Inc. 25,350 773
* Graham-Field Health Products Inc. 96,100 324
* Grand Casinos, Inc. 54,000 1,256
Graphic Industries, Inc. 47,700 572
* Greater New York Savings Bank 46,300 550
Green Mountain Power Corp. 15,251 423
Green Point Financial Corp. 37,100 988
Green Tree Financial Corp. 103,100 2,719
Greif Brothers Corp. Class A 15,800 425
Greiner Engineering, Inc. 30,733 415
* Grist Mill Co. 33,350 250
* Grossmans, Inc. 135,000 160
* Gtech Holdings Corp. 30,500 793
Guaranty National Corp. 30,700 472
Guidant Corp. 52,900 2,235
Guilford Mills, Inc. 25,650 523
* Gundle/SLT Environmental, Inc. 59,800 333
* Gymboree Inc. 30,000 617
HBO and Co. 27,200 2,081
* HFS Inc. 38,200 3,123
* HMN Financial, Inc. 21,300 339
* Hadco Corp. 48,900 1,384
* Haemonetics Corp. 36,100 641
Hancock Fabrics, Inc. 45,600 410
Handy & Harman 27,800 459
M.A. Hanna Co. 22,050 617
Hannaford Brothers Co. 29,900 736
* Hanover Direct, Inc. 70,200 110
Harley-Davidson, Inc. 52,788 1,518
Harman International
Industries, Inc. 16,695 670
Harper Group, Inc. 32,300 577
* Harrodsburg First Financial Bancorp 4,400 67
Harsco Corp. 18,316 1,065
Harte-Hanks Communications Co. 22,200 438
Hartford Steam Boiler Inspection &
Insurance Co. 13,443 672
* Hauser Chemical Research 63,500 290
Hawaiian Electric Industries Inc. 19,435 753
Health and Retirement
Properties Trust 42,000 683
Health Care Properties Investors 20,500 720
Health Care REIT, Inc. 22,900 412
* Health Management Associates
Class A 51,143 1,336
* Health Systems 35,500 1,140
* HealthCare Compare Corp. 30,198 1,319
* Healthcare & Retirement Corp. 21,100 739
* Healthcare Services Group, Inc. 33,826 309
* Healthsource, Inc. 44,200 1,591
* HEALTHSOUTH Corp. 70,852 2,064
* Healthwise of America Inc. 17,956 698
Hechinger Co. Class A 95,900 426
* Hecla Mining Co. 71,400 491
* Hector Communications Corp. 35,350 265
Heico Corp. 8,690 165
Heilig-Meyers Co. 35,125 645
* Hein-Werner Corp. 10,072 46
* Helen of Troy Corp. 22,500 465
Helene Curtis, Inc. 17,300 547
* Hemasure, Inc. 24,300 308
Herbalife International, Inc. 48,400 424
Hewlett-Packard Co. 4,432 371
Hibernia Corp. Class A 81,528 876
* High Plains Corp. 69,497 308
Hillenbrand Industries, Inc. 50,350 1,706
* Hinsdale Financial Corp. 16,125 355
* Hitox Corp. of America 40,700 140
Holly Corp. 19,300 437
</TABLE>
8
<PAGE> 48
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Hollywood Casino Corp. 68,200 $ 286
* Hollywood Entertainment Corp. 55,100 468
Home Federal Financial Corp. 27,093 476
* Home Shopping Network, Inc. 58,000 522
* Homeowners Group, Inc. 35,000 25
* Hometown Buffet, Inc. 35,550 393
Hon Industries, Inc. 19,300 454
Horace Mann Educators Corp. 17,100 534
* Horizon/CMS Healthcare Corp. 38,371 969
Hormel Foods Corp. 54,000 1,330
* Horsehead Resource Development
Co., Inc. 76,600 335
* Host Marriott 112,550 1,491
Houghton Mifflin Co. 14,100 606
* House of Fabrics, Inc. 49,400 19
Hubbell Inc. Class A 2,000 124
Hubbell Inc. Class B 21,753 1,430
Hughes Supply, Inc. 21,400 605
* Human Genome Sciences, Inc. 26,000 991
J.B. Hunt Transport Services, Inc. 47,350 799
Huntington Bancshares Inc. 99,837 2,384
* Hyperion Software Corp. 25,000 534
IBP, Inc. 34,800 1,757
ICN Pharmaceuticals 37,332 719
* ICOS Corp. 70,300 510
IDEX Corp. 12,000 492
* IDEXX Laboratories 24,900 1,164
IES Industries, Inc. 22,340 592
* IGI, Inc. 30,300 250
* IHOP Corp. 18,000 464
IMC Global Inc. 45,294 1,851
IMCO Recycling, Inc. 27,500 674
* ITI Technologies, Inc. 16,900 496
* ITT Educational Services, Inc. 21,800 537
Idaho Power Co. 25,100 753
Ideon Group 58,200 589
* Identix, Inc. 52,900 562
Illinois Central Corp. 31,600 1,213
Illinova Corp. 54,376 1,631
* Image Entertainment, Inc. 54,500 412
* Immulogic Pharmaceutical Corp. 41,300 787
* Immune Response 85,783 485
* Immunex Corp. 49,000 812
* Immunomedics Inc. 98,900 581
* Imo Industries, Inc. 55,100 379
* Imperial Bancorp 37,830 917
* Imperial Credit 45,000 962
* Inacom Corp. 29,396 412
* Incyte Pharmaceuticals, Inc. 20,600 515
Indiana Energy, Inc. 39,000 931
* Infinity Broadcasting Corp. 38,800 1,445
* Information Resources, Inc. 45,200 551
* Informix Corp. 102,600 3,084
Innkeepers USA Trust 27,700 253
* Input/Output, Inc. 15,500 895
Integon Corp. 29,050 599
Integra Financial Corp. 23,131 1,457
* Integrated Communication
Network, Inc. 19,900 41
* Integrated Device Technology Inc. 51,000 660
Integrated Health Services, Inc. 27,000 675
* Integrated Silicon Solution, Inc. 26,800 446
Intelligent Electronics Inc. 62,486 379
* Interactive Group, Inc. 42,900 308
* Interco Co. 70,500 635
Interface, Inc. 35,100 603
Interface Systems Inc. 22,700 285
* Interlink Electronics Inc. 36,800 244
* Intermet Corp. 43,100 442
* International Cabletel, Inc. 19,200 466
* International Dairy Queen, Inc.
Class A 33,612 773
* International Family
Entertainment, Inc. Class B 38,400 629
International Game Technology 99,598 1,083
* International Imaging Materials Inc. 20,600 518
* International Lottery & Totalizator
Systems Inc. 51,600 74
International Multifoods Corp. 25,669 517
* International Rectifier Corp. 37,600 940
* International Specialty Products, Inc. 67,200 731
* Interneuron Pharmaceutical, Inc. 19,000 482
* Interpore International 38,200 186
Interstate Bakeries 24,000 537
* Intervoice, Inc. 43,200 815
* Intuit, Inc. 32,100 2,508
Invacare Corp. 33,600 844
* Investment Technology Group, Inc. 43,200 410
* Iomega Corp. 18,400 896
Ipalco Enterprises, Inc. 26,100 995
Irvine Apartment Communities, Inc. 27,400 527
* ISIS Pharmaceuticals, Inc. 42,600 562
* Isomedix, Inc. 24,900 358
IVAX Corp. 87,100 2,482
JDN Realty Corp. 19,500 436
* J & J Snack Foods Corp. 29,000 323
J & L Specialty Steel Inc. 27,400 514
JSB Financial 19,299 613
Jackpot Enterprises, Inc. 37,727 439
* Jacobs Engineering Group Inc. 30,500 763
* Jan Bell Marketing Inc. 112,200 281
* Jefferson Savings Bancorp, Inc. 14,900 419
* Jefferson Smurfit Corp. 72,800 687
John Alden Financial Group 32,300 674
John Nuveen Co. Class A 23,743 588
* Jones Apparel Group, Inc. 21,800 858
</TABLE>
9
<PAGE> 49
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Jones Intercable Inc. 43,500 $ 538
* Jupiter National, Inc. 10,700 321
Justin Industries, Inc. 28,000 306
* KFX, Inc. 62,150 280
* KLA Instruments Corp. 35,400 925
KN Energy, Inc. 20,850 607
K U Energy Corp. 32,600 978
* K-V Pharmaceutical Co. Class A 39,500 528
* Kaiser Aluminum & Chemical Corp. 62,400 811
Kaman Corp. Class A 40,800 451
Kansas City Power & Light Co. 44,000 1,150
Kansas City Southern
Industries, Inc. 31,538 1,443
Kaydon Corp. 23,300 708
Kellwood Co. 31,000 632
* Kelly Oil Corp. 148,000 190
Kelly Services, Inc. Class A 29,937 842
* KEMET Corp. 25,200 605
Kemper Corp. 24,522 1,217
* KENETECH Corp. 44,000 69
Kennametal, Inc. 18,852 599
* Kent Electronics Corp. 20,250 1,182
* Kentucky First Bancorp, Inc. 8,600 106
* Kentucky Medical Insurance Co. 35,211 431
* Kenwin Shops, Inc. 900 2
* Key Tronic Corp. 44,700 369
* Keystone Consolidated
Industries, Inc. 29,550 340
Keystone Financial, Inc. 14,800 442
Keystone International, Inc. 22,025 441
Kimball International, Inc. Class B 27,100 684
Kimco Realty Corp. 22,850 623
* Kinder Care Learning Centers Inc. 36,500 461
Kinetic Concepts, Inc. 95,700 1,154
* Kinross Gold Corp. 61,600 470
* Kirby Corp. 35,700 580
Knape & Vogt Manufacturing Co. 21,562 383
* Koger Equity Inc. 39,800 423
* Kohls Corp. 26,300 1,381
* Komag, Inc. 20,500 940
* Koo Koo Roo, Inc. 53,800 351
* Kronos, Inc. 12,900 626
* Kulicke & Soffa Industries, Inc. 44,500 1,029
* L.A. Gear Inc. 136,216 238
L & N Housing Corp. 32,600 249
* LCI International, Inc. 47,400 972
LG&E Energy Corp. 25,350 1,071
* LTV Corp. 74,523 1,025
* LTX Corp. 105,200 960
La Quinta Inns Inc. 36,300 994
La-Z-Boy Chair Co. 22,700 701
Lab One Inc. 29,600 426
* Laboratory Corp. of America 81,988 769
Lafarge Corp. 43,400 814
* LAM Research Corp. 19,450 887
Lancaster Colony Corp. 19,310 722
Lance, Inc. 40,741 665
* Landmark Graphics Corp. 26,900 636
* Landry's Seafood Restaurants, Inc. 32,900 565
* Lands' End, Inc. 44,600 608
* Larizza Industries, Inc. 64,200 413
* Lattice Semiconductor Corp. 30,300 990
Lawson Products, Inc. 22,350 552
Lawter International Inc. 59,854 696
Lawyers Title Insurance Corp. 29,750 569
* Lear Seating Corp. 39,600 1,148
Learonal Inc. 24,100 554
* The Leather Factory, Inc. 16,000 39
* Lechters Corp. 50,600 326
Lee Enterprises, Inc. 34,800 800
Legg Mason Inc. 22,000 605
Leggett & Platt, Inc. 62,000 1,504
Lehman Brothers Holdings, Inc. 81,900 1,740
Lennar Corp. 29,250 735
Leucadia National Corp. 39,276 982
* Lexington Global Asset
Managers, Inc. 27,600 138
Liberty Corp. 24,400 824
Liberty Financial Cos., Inc. 17,600 532
* Liberty Media Group Class A 81,000 2,172
Life Bancorp Inc. 24,100 358
Life Partners Group, Inc. 41,300 563
Life Re Corp. 25,100 628
Lilly Industries Inc. Class A 38,588 492
* Lin Television 35,234 1,057
* Lincare Holdings Inc. 22,000 547
Lincoln Electric Co. Class A 15,900 388
Lincoln Telecommunications Co. 39,800 846
Linear Technology Corp. 53,204 2,095
* Liposome Co., Inc. 54,600 1,099
* Littelfuse, Inc. 19,700 719
* Little Switzerland, Inc. 23,400 89
* Litton Industries, Inc. 32,700 1,455
* Lo-Jack Corp. 40,800 454
Loctite Corp. 26,200 1,245
* Lone Star Steakhouse & Saloon 25,363 972
* Lone Star Technologies, Inc. 56,200 625
Long Island Bancorp, Inc. 15,300 404
Long Island Lighting Co. 90,665 1,485
Longview Fiber Co. 33,070 537
Lubrizol Corp. 48,500 1,352
Lukens, Inc. 20,400 587
* Lynx Therapeutic 14,256 11
Lyondell Petrochemical Co. 57,054 1,305
* MAI Systems Corp. 5,375 36
MBIA, Inc. 32,000 2,400
</TABLE>
10
<PAGE> 50
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
MCN Corp. 44,900 $ 1,044
MDU Resources Group, Inc. 34,350 683
* MEMC Electronic Materials, Inc. 29,900 975
* MFS Communications Co., Inc. 47,700 2,552
* MGI Pharma, Inc. 63,900 288
MGIC Investment Corp. 44,198 2,398
* MGM Grand Inc. 33,800 777
MLF Bancorp, Inc. 21,900 490
* MRV Communications Inc. 23,400 589
* M.S. Carriers Inc. 24,200 478
The Macerich Co. 28,200 564
* MacFrugal's Bargains
Close-Outs, Inc. 38,700 542
The MacNeal-Schwendler Corp. 35,100 562
* Macromedia 33,000 1,718
* Mafco Consolidated 31,700 571
* Magellan Health Services Corp. 36,300 871
* Magma Copper Co. Class B 37,300 1,040
Magna Group 30,600 731
* Magnatek 51,100 415
Maine Public Service Co. 13,100 280
Manpower Inc. 54,100 1,522
* Manville Corp. 85,500 1,122
Mapco Inc. 20,700 1,131
Mark IV Industries, Inc. 43,879 867
* Mark VII Inc. 19,700 312
Mark Twain Bancshares, Inc. 20,650 805
* MarketLink, Inc. 53,600 211
* Marquest Medical Products Inc. 10,000 6
* Marquette Electronics Class A 29,000 598
Marshall & Ilsley Corp. 67,127 1,741
* Marshall Industries 22,572 725
Martin Marietta Materials, Inc. 34,700 716
* Marvel Entertainment Group 68,834 895
Maryland Federal Bancorp 18,276 556
MascoTech Inc. 38,000 413
Masland Corp. 27,700 390
* Mastec Inc. 48,600 647
* Maxim Integrated Products, Inc. 42,180 1,624
* Maxtor Corp. 95,800 638
* Maxxam Inc. 14,400 508
Maybelline, Inc. 25,051 908
* McAfee Associates, Inc. 11,200 480
McClatchy Newspapers, Inc. 34,500 789
McCormick & Co., Inc. 56,783 1,377
* J. Ray McDermott, SA 16,800 300
McKesson Corp. 31,800 1,610
* McMoRan Oil and Gas 99,199 332
* McWorter Technologies Inc. 25,200 372
Measurex Corp. 24,700 698
* Medaphis Corp. 31,700 1,177
Medford Savings Bank 29,000 618
Media General, Inc. Class A 24,900 756
* Medic Computer Systems, Inc. 8,800 531
* Medical Dynamics, Inc. 63,700 68
* Medical Technology Systems, Inc. 16,100 15
* MedImmune Inc. 34,100 678
Meditrust 35,700 1,245
* Mednet MPC Corp. 108,800 248
* Men's Wearhouse, Inc. 33,750 878
Mentor Corp. 51,400 1,189
* Mentor Graphics Corp. 48,100 872
Mercantile Bancorp, Inc. 40,750 1,875
Mercantile Bankshares Corp. 32,450 898
Mercury Finance Co. 132,830 1,760
Mercury General Corp. 19,200 912
Meridian Bancorp, Inc. 41,497 1,932
* Merisel, Inc. 75,610 326
* Merix Corp. 12,300 365
Merrill Corp. 23,100 375
Merry Land & Investment Co., Inc. 23,000 543
* Mesa Airlines, Inc. 52,800 472
Mesaba Holdings, Inc. 43,700 344
Met-Pro Corp. 32,883 481
* Metrocall, Inc. 21,700 412
* Metromedia International
Group, Inc. 46,500 651
* Fred Meyer, Inc. 34,200 770
Michael Foods, Inc. 41,400 486
* Michaels Stores, Inc. 35,900 500
* Micro Warehouse Inc. 22,700 987
* Microchip Technology, Inc. 25,650 939
* Microcom Corp. 60,800 1,585
* Microdyne Corp. 25,900 442
* Micron Electronics, Inc. 62,300 674
* Micronics Computers, Inc. 78,600 280
* Micropolis Corp. 79,200 307
* Microtouch Systems, Inc. 35,700 435
Mid-America Apartment
Communities, Inc. 19,300 478
* Mid-American Waste Systems, Inc. 86,800 304
* Mid Atlantic Medical Services 30,100 730
Mid-Iowa Financial Corp. 5,280 77
Midamerican Energy Co. 76,653 1,284
* Midisoft Corp. 32,500 83
Midwest Grain Products 27,550 396
Herman Miller, Inc. 22,271 674
* Milwaukee Land Co. 2,300 17
Minerals Technologies, Inc. 14,300 522
Minnesota Power & Light Co. 23,800 675
* Mirage Resorts, Inc. 68,650 2,368
* Mitcham Industries, Inc. 26,300 130
Mitchell Energy & Development
Corp. Class A 32,000 592
* Mobile Telecommunications
Technologies Corp. 36,100 772
</TABLE>
11
<PAGE> 51
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Mobilemedia Corp. 33,500 $ 741
* Model Imperial, Inc. 57,500 75
Modern Controls, Inc. 12,775 138
Modine Manufacturing Co. 22,800 553
* Mohawk Industries, Inc. 41,300 632
* Molecular Biosystems, Inc. 48,334 332
Molex, Inc. 72,867 2,332
Molex, Inc. Class A 875 27
* Molten Metal Technology 29,200 953
The Money Store 108,562 1,696
Montana Power Co. 36,600 828
* Morrison-Knudsen Co., Inc. 25,000 106
Morrison Restaurants 36,325 509
Mosinee Paper Corp. 16,500 431
* Mueller Industries Inc. 29,000 848
Murphy Oil Corp. 34,230 1,421
Myers Industries, Inc. 31,265 512
Mylan Laboratories, Inc. 88,150 2,072
* Myriad Genetics, Inc. 13,900 454
NAC Re Corp. 21,925 789
NCH Corp. 11,200 647
NGC Corp. 45,800 406
NIPSCO Industries, Inc. 48,070 1,839
* N L Industries, Inc. 32,400 401
* NPC International Class A 58,600 418
N.S. Bancorp Inc. 16,700 649
NYMAGIC, Inc. 24,500 417
Nabisco Holdings Corp. Class A 30,900 1,008
* Nabors Industries, Inc. 78,700 876
Nashua Corp. 23,300 317
* National Auto Credit Co. 47,276 768
* National Beverage Corp. 26,920 143
National Community Bancorp 28,500 748
National Computer Systems, Inc. 31,500 585
National Data Corp. 32,050 793
National Fuel & Gas Co. 24,500 824
* National Gaming Corp. 33,590 395
National Health Investors REIT 21,300 706
National Presto Industries, Inc. 11,963 476
National Re Holdings Corp. 22,900 870
* National Record Mart, Inc. 49,100 43
* National Steel Corp. Class B 54,100 697
Nationwide Health Properties, Inc. 12,500 525
* Nautica Enterprises Inc. 29,643 1,286
Neiman Marcus Group Inc. 45,504 1,069
* Nellcor Puritan Bennett, Inc. 29,384 1,715
* Netmanage, Inc. 27,700 641
* Netscape Communications Corp. 29,300 4,076
* Network Equipment Technologies 25,147 688
* Network General Corp. 23,144 767
* Network Peripherals, Inc. 33,000 390
Nevada Power Co. 35,252 784
New England Business Service, Inc. 25,500 555
New England Electric System 48,200 1,910
New Jersey Resources Corp. 23,200 699
* New Mexico & Arizona Land Co. 35,310 424
New Plan Realty Trust 39,355 861
* New World Communications
Group, Inc. 33,100 583
New York State Electric & Gas Corp. 50,900 1,317
Newcor, Inc. 39,600 327
Newhall Land & Farming Co. 45,900 780
Newmont Gold Co. 73,391 3,211
* Nexgen Inc. 27,900 354
* Nexstar Pharmaceuticals Inc. 56,760 944
* Nextel Communications 34,900 517
* Nine West Group, Inc. 24,400 915
* Nitches Inc. 30,128 124
Noble Affiliates, Inc. 34,900 1,043
* Noble Drilling Corp. 72,000 644
Nordson Corp. 12,240 696
* Nortek, Inc. 41,252 485
North American Mortgage 25,500 542
North Fork Bancorporation, Inc. 73,243 1,849
North Side Savings Bank 26,396 800
* North Star Universal Inc. 63,800 486
Northeast Utilities 93,400 2,277
Northern Trust Corp. 41,550 2,314
* Northwest Airlines Corp. Class A 68,400 3,484
Northwest Natural Gas Co. 19,000 622
Northwest Savings Bank 18,800 451
Northwestern Public Service Co. 16,100 451
* Norwalk Savings Society 9,300 176
* NovaCare, Inc. 92,500 474
* Novavax, Inc. 30,300 114
* Novellus Systems, Inc. 11,700 633
* Nutrition for Life International, Inc. 30,200 638
* nVIEW Corp. 25,049 94
OEA, Inc. 24,900 744
* OHM Corp. 54,800 404
* Oak Technology, Inc. 12,700 541
* Oakley, Inc. 25,600 870
Oakwood Homes Corp. 14,000 537
Oasis Residential, Inc. 25,100 571
* Oceaneering International, Inc. 47,000 605
* Octel Communications Corp. 28,100 908
* Office Depot, Inc. 110,625 2,185
* Officemax Inc. 62,500 1,398
* Offshore Logistics, Inc. 38,700 489
Ohio Art Co. 7,400 392
Ohio Casualty Corp. 24,256 934
Oklahoma Gas & Electric Co. 28,700 1,234
* Old America Stores, Inc. 38,000 318
Old Kent Financial Corp. 32,345 1,326
Old National Bancorp 13,978 482
Old Republic International Corp. 36,474 1,295
</TABLE>
12
<PAGE> 52
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Olin Corp. 18,600 $ 1,381
Olsten Corp. 30,187 1,192
Omega Healthcare Investors, Inc. 23,041 613
Omnicare, Inc. 19,800 886
Omnicom Group Inc. 54,800 2,041
* On Assignment, Inc. 14,700 487
Onbancorp Inc. 18,700 625
One Valley Bancorp of
West Virginia Inc. 21,300 666
Oneida Ltd. 27,289 481
* Oneita Industries 43,733 284
* Opthalmic Imaging Systems, Inc. 1,000 3
Optical Coating Laboratory, Inc. 50,066 563
Orange & Rockland Utilities, Inc. 18,500 661
* Orbital Sciences Corp. 40,100 501
* Oregon Metallurgical Corp. 45,000 503
Oregon Steel Mills, Inc. 34,300 480
* O'Reilly Automotive, Inc. 17,400 507
* Oriole Homes Corp. Class B 7,500 46
Orion Capital Corp. 17,400 755
* OrNda Healthcorp 43,800 1,016
Oshkosh B Gosh, Inc. Class A 27,200 466
O'Sullivan Corp. 39,675 412
* Outback Steakhouse 31,854 1,145
* Outlook Group Corp. 8,000 51
Overseas Shipholding Group Inc. 27,700 526
* Owens-Illinois, Inc. 91,272 1,323
* Oxford Health Plan 25,500 1,881
* Oxigene, Inc. 22,200 232
PCA International, Inc. 38,493 428
* PDG Environment Industries 7,140 3
* PDT, Inc. 9,000 447
PHH Corp. 11,400 533
PMC Capital, Inc. 28,200 356
The PMI Group Inc. 26,500 1,199
* PMT Services Inc 15,900 482
PS Group, Inc. 27,900 300
* Pacific Crest Capital Inc. 43,645 322
Pacific Gulf Properties, Inc. 23,100 375
Pacific Scientific Co. 33,800 837
* Pacificare Health Systems Inc.
Class A 14,800 1,280
* Pacificare Health Systems Inc.
Class B 7,800 680
* Paging Network Inc. 78,300 1,884
PaineWebber Group, Inc. 75,175 1,503
* Pairgain Technologies, Inc. 8,900 485
* Parametric Technology Corp. 47,604 3,160
* Park-Ohio Industries, Inc. 27,900 453
Parker & Parsley Petroleum Co. 21,100 464
* Parker Drilling Co. 96,300 590
* Patlex Corp. 5,477 84
* Patten Corp. 74,800 355
Paul Revere Corp. 27,600 573
* Paul-Son Gaming Corp. 23,300 182
Paychex, Inc. 32,375 1,609
* Peak Technologies Group, Inc. 15,200 471
* Pec Israel Economic Corp. 27,100 654
* Pegasus Gold 47,800 663
Penn Engineering &
Manufacturing Co. 8,300 805
* Pennfed Financial Services, Inc. 22,300 330
Pennsylvania Enterprises Inc. 12,850 487
Pentair, Inc. 13,954 698
Penwest Ltd. 15,709 385
Peoples Bank of Bridgeport 28,100 537
* People's Choice TV Corp. 20,600 389
Peoples Heritage Financial
Group Inc. 33,800 765
* Peoplesoft Inc. 39,200 1,671
* Perini Corp. 33,800 279
* Perrigo Co. 55,300 660
* Personnel Group of America, Inc. 26,200 383
* Pet Food Warehouse, Inc. 27,800 89
* Petrie Stores Corp. 128,331 353
Petroleum Heat & Power Co. 52,400 419
Petrolite Corp. 19,600 546
* Petsmart, Inc. 34,000 1,054
* Pharmaceutical Resources, Inc. 46,088 346
Phillips-Van Heusen Corp. 45,993 454
* Photronics Labs Inc. 34,500 927
* Phycor, Inc. 24,750 1,253
* Physician Corp. of America 39,900 678
* Physician Reliance Network, Inc. 14,800 594
* PictureTel Corp. 46,400 1,995
Piedmont Natural Gas, Inc. 24,689 574
Pier 1 Imports Inc. 55,235 628
* Piercing Pagoda, Inc. 22,500 402
Pilgrim's Pride Corp. 59,700 410
* Pinnacle Systems, Inc. 13,900 349
Pinnacle West Capital Corp. 62,500 1,797
Pioneer Financial 37,800 699
Pioneer Group Inc. 16,500 443
Pioneer Standard Electronics Inc. 47,025 620
* Pittencrieff Communication, Inc. 53,600 206
Pittway Corp. Class A 16,700 1,131
* Platinum Technology, Inc. 28,900 533
* Playboy Enterprises Inc. Class A 22,850 200
* Playboy Enterprises Inc. Class B 31,150 261
* Players International, Inc. 44,800 482
Plenum Publishing Corp. 16,400 650
* Plexus Corp. 30,750 503
Ply-Gem Industries, Inc. 25,100 408
Pogo Producing Co. 28,400 802
Polaris Industries, Inc. 20,550 604
* Policy Management Systems Corp. 13,664 651
</TABLE>
13
<PAGE> 53
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Pool Energy Service Co. 43,867 $ 425
Pope & Talbot, Inc. 29,100 385
Portland General Electric Co. 35,400 1,031
Post Properties, Inc. 21,700 692
Potomac Electric Power Co. 90,100 2,365
* Power Control Technologies 82,800 673
Precision Castparts Corp. 25,800 1,025
Premier Bancorp, Inc. 34,900 814
Premier Industrial Corp. 58,547 1,434
* Premisys Communications, Inc. 34,100 1,927
* President Casinos 157,282 275
Presidential Life Corp. 54,300 533
* Presstek, Inc. 10,300 975
Price Enterprises, Inc. 36,500 554
T. Rowe Price 20,400 1,000
* Primadonna Resorts, Inc. 39,400 571
* Primark Corp. 32,800 984
Prime Bancorp Inc. 31,012 616
* Prime Retail, Inc. 24,000 289
Production Operators Corp. 17,600 585
Progressive Corp. of Ohio 55,106 2,693
* Promus Hotel Corp. 49,300 1,097
* Pronet, Inc. 25,500 754
Protective Life Corp. 29,800 931
* Protein Design Labs 27,600 635
Provident Bancorp Inc. 15,300 721
* Provident Cos., Inc. 32,300 1,094
Prudential Reinsurance
Holdings, Inc. 37,700 881
* PsiNet, Inc. 20,800 477
* Psychemedics, Inc. 71,300 392
Public Service Co. of Colorado 46,800 1,655
* Public Service Co. of New Mexico 47,820 843
Public Storage, Inc. 29,400 559
Puerto Rican Cement Co., Inc. 13,700 454
Puget Sound Power & Light Co. 43,215 1,005
Pulitzer Publishing Co. 17,725 846
* Purus, Inc. 5,100 11
* Pyxis Corp. 31,400 461
* QMS, Inc. 75,200 338
* Qlogic 3,700 28
Quaker State Corp. 48,500 612
* Qualcomm, Inc. 45,400 1,949
Quality Food Centers Inc. 23,754 525
Quanex Corp. 24,900 482
* Quantum Corp. 40,100 649
* Quarterdeck Corp. 75,400 2,073
Queens County Bancorp, Inc. 12,100 479
Questar Corp. 28,215 945
The Quick & Reilly Group, Inc. 17,250 354
* Quickresponse Services, Inc. 17,900 327
* Quintiles Transnational Corp. 9,600 392
* Quorum Health Group, Inc. 31,300 685
RCSB Financial Corp. 28,100 664
RFS Hotel Investors 36,700 571
RJR Nabisco Holdings Corp. 209,524 6,469
R.L.I. Corp. 17,400 435
ROC Communities Inc. 21,000 504
* RPC Inc. 50,200 458
RPM Inc. (Ohio) 50,281 823
* Rainbow Technologies, Inc. 24,400 531
* Ralcorp Holdings Inc. 21,600 524
Raymond James Financial, Inc. 33,050 698
Rayonier Inc. 22,800 761
* Read-Right Corp. 44,114 1,023
Reader's Digest Assn., Inc. Class A 80,100 4,105
Reader's Digest Assn., Inc. Class B 400 19
* Reading & Bates Corp. 86,520 1,298
* Red Lion Hotels, Inc. 38,800 679
* Reddi Brake Supply Corp. 111,300 261
* Redman Industries, Inc. 24,200 814
Regal-Beloit Corp. 34,700 755
* Regional Acceptance Corp. 39,250 373
Regions Financial Corp. 32,327 1,392
Reliance Group Holdings 74,214 640
Reliastar Financial Corp. 35,322 1,567
* Renaissance Communications 26,250 581
* Rentrak Corp. 59,100 286
* Republic Bank (Clearwater, Florida) 12,300 172
* Republic Industries, Inc. 40,900 1,470
* Research Frontiers, Inc. 26,300 265
* Research Medical, Inc. 37,150 998
* Response Oncology, Inc. 26,400 337
* Retix 106,600 220
* Revco Drug Stores, Inc. 47,400 1,339
* Rexall Sundown, Inc. 40,200 887
* Rexel Inc. 57,244 773
Reynolds & Reynolds Class A 29,500 1,147
Rhone-Poulenc Rorer, Inc. 105,154 5,599
Richfood Holdings, Inc. 23,000 621
* Riggs National Corp. 52,000 673
* Right Management Consultants 16,500 394
* Riverwood International Corp. 46,900 897
* Robert Half International, Inc. 20,100 842
* Roberts Pharmaceuticals 28,400 500
Rochester Gas and Electric Corp. 23,948 542
Rock-Tenn Co. 39,000 624
Rockefeller Center Properties Inc. 86,200 657
* Rodman and Renshaw Capital
Group, Inc. 2,239 4
* Rogers Corp. 22,800 496
* Rohr, Inc. 33,300 479
* Rollins Environmental
Services, Inc. 130,200 374
Rollins, Inc. 22,400 496
Rollins Truck Leasing 60,575 674
</TABLE>
14
<PAGE> 54
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Roosevelt Financial Group 31,600 $ 608
Ross Stores, Inc. 37,400 722
* The Rottlund Co. 50,300 333
Rouse Co. 30,800 627
* Royal Appliance Manufacturing Co. 105,100 263
Ruddick Corp. 58,800 676
Russ Berrie, Inc. 36,000 454
Rykoff-Sexton, Inc. 27,031 473
Ryland Group, Inc. 32,700 458
* SCI Systems, Inc. 33,300 1,028
SIG Corp. 20,454 711
SJW Corp. 10,000 377
S-K-I, Ltd. 22,800 342
* SOI Industries, Inc. 625 1
* SOS Staffing Services, Inc. 38,100 350
* SPSS, Inc. 20,900 404
* SPS Transaction Services 16,700 495
SPX Corp. 26,591 422
* S3, Inc. 31,000 544
* Safeguard Health Enterprises, Inc. 35,300 410
* Safeguard Scientifics, Inc. 39,700 1,965
* Safety First Inc. 19,200 287
* Safeway, Inc. 80,928 4,168
St. Francis Capital Corp. 16,800 395
St. Ives Laboratories, Inc. 39,500 585
St. Joe Paper Co. 22,099 1,215
St. Paul Bancorp, Inc. 27,150 694
* Salant Corp. 77,200 299
Sanderson Farms, Inc. 35,550 382
* Sanifill, Inc. 24,200 808
Saul Centers, Inc. 27,900 380
Savannah Foods & Industries, Inc. 43,800 498
* Savoy Pictures Entertainment, Inc. 72,900 460
Sbarro, Inc. 27,891 600
SCANA Corp. 77,300 2,213
* R. P. Scherer Corp. 17,526 861
* Scholastic Corp. 13,100 1,020
A. Schulman Inc. 26,962 603
Schult Home Corp. 25,900 453
Charles Schwab Corp. 128,566 2,587
* Schweitzer-Mauduit
International, Inc. 200 5
* Scios Nova, Inc. 83,168 351
Scope Industries 2,400 77
E.W. Scripps Co. 63,769 2,511
Seafield Capital Corp. 12,100 417
* Seagate Technology 53,042 2,520
* Seagull Energy Corp. 23,400 521
* Sealed Air Corp. 39,200 1,102
Security Capital Corp. 12,600 763
Security Capital Industrial Trust 52,816 924
Security Capital Pacific Inc. 50,097 989
Selective Insurance Group 19,000 677
* Selfix, Inc. 24,120 131
Sensormatic Electronics Corp. 53,961 937
* Sequa Corp. Class A 18,000 549
* Sequent Computer Systems, Inc. 42,300 608
* Service Merchandise Co., Inc. 104,387 522
Shaw Industries, Inc. 97,300 1,435
Shelby Williams Industries, Inc. 29,900 351
* Shiva Corp. 9,300 679
* Sholodge, Inc. 32,033 312
Shopko Stores, Inc. 48,155 542
* Shorewood Packaging 35,200 506
* Show Biz Pizza Time, Inc. 30,850 372
Showboat, Inc. 24,216 639
* Sierra Health Services 23,969 761
* Sierra On-line, Inc. 22,600 647
Sierra Pacific Resources 33,000 771
* Sierra Semiconductor 80,288 1,119
Signet Banking Corp. 41,352 982
* Silicon Valley Group, Inc. 17,200 435
* Silver King Communications 28,900 997
Simon Property Group 40,400 985
* Simula, Inc. 24,300 456
* Sithe Energies, Inc. 83,700 502
Sizzler International 88,750 377
Skyline Corp. 22,000 456
A.O. Smith Corp. 28,400 589
* Smith International, Inc. 24,200 569
* Smithfield Foods, Inc. 23,400 749
Smiths Food & Drug Centers, Inc.
Class B 23,400 591
J.M. Smucker Co. Class A 37,500 825
J.M. Smucker Co. Class B 1,200 23
* Sofamor/Danek Group Inc. 28,600 811
* Softdesk, Inc. 25,900 518
* Softkey International, Inc. 14,000 322
* Software Publishing Corp. 79,950 267
* Software Spectrum, Inc. 16,100 342
* Sola International, Inc. 19,100 482
* Solectron Corp. 29,000 1,280
* Solv-Ex Corp. 76,000 1,225
Sonat Offshore Drilling Co. 18,800 841
Sonoco Products 67,985 1,785
Sotheby's Holdings Class A 40,300 574
South Jersey Industries, Inc. 22,084 511
* Southdown, Inc. 28,300 552
Southern National Corp. 81,352 2,135
Southern New England
Telecommunications Corp. 46,900 1,864
* Southern Pacific Rail Corp. 119,700 2,873
* Southern Union Co. 25,151 635
* Southland Corp. 256,100 824
SouthTrust Corp. 59,051 1,520
Southwest Gas Corp. 35,000 617
</TABLE>
15
<PAGE> 55
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Southwestern Energy Co. 41,400 $ 528
Southwestern Public Service Co. 31,400 1,028
Sovereign Bancorp, Inc. 60,099 605
* Spaghetti Warehouse, Inc. 26,300 132
Spartan Motors, Inc. 33,400 363
* Spec's Music Inc. 43,366 70
* Spectrian Corp. 20,500 451
* Spelling Entertainment 61,900 774
Spiegel, Inc. Class A 69,100 484
Spieker Properties, Inc. 29,400 739
* Stac, Inc. 47,700 686
Standard Federal Bank 22,000 866
* Standard Financial, Inc. 34,000 501
Standard Products Co. 28,750 507
The Standard Register Co. 35,000 704
Standex International Corp. 20,500 671
Stanhome, Inc. 23,500 684
* Staples, Inc. 75,641 1,853
Star Banc Corp. 21,600 1,285
* Starbucks Corp. 49,000 1,026
L. S. Starrett Co. Class A 16,700 432
L. S. Starrett Co. Class B 400 10
* Starter Corp. 54,100 379
State Street Boston Corp. 62,000 2,790
* Station Casinos, Inc. 47,300 698
* Steris Corp. 21,800 700
* Sterling Chemicals, Inc. 74,800 608
* Sterling Software, Inc. 23,037 1,437
Stewart & Stevenson Services, Inc. 24,182 614
Stewart Enterprises, Inc. Class A 16,900 621
Stewart Information Services Corp. 22,300 479
Stolt-Nielson SA 21,100 607
Stone & Webster, Inc. 19,200 689
* Stop & Shop Cos. Inc. 35,400 819
* Storage Technology Corp. 39,091 933
* StrataCom, Inc. 27,600 2,022
* Stratus Computer, Inc. 25,400 879
Strawbridge & Clothier Class A 22,064 538
* Strouds, Inc. 62,000 256
* Structural Dynamics Research Corp. 34,800 1,018
Stryker Corp. 36,850 1,932
Student Loan Corp. 27,300 928
Student Loan Marketing Assn. 55,000 3,623
* Submicron Systems Corp. 62,340 588
Summit Bancorp 26,198 822
Summit Properties, Inc. 25,300 503
* Summit Technology, Inc. 28,350 960
Sun Communities, Inc. 19,900 525
* Sun Healthcare Group, Inc. 58,700 792
SunAmerica Inc. 40,050 1,902
Sunbeam Corp. 55,600 848
Sundstrand Corp. 22,400 1,576
* SunGard Data Systems 24,800 697
* Sunglass Hut International, Inc. 47,200 1,115
Sunrise Bancorp, Inc. 10,600 337
* Sunrise Medical, Inc. 30,000 555
Super Food Services, Inc. 31,200 406
* Supercuts, Inc. 41,800 340
Superior Industries
International, Inc. 18,719 494
Surgical Care Affiliates, Inc. 27,700 942
* Swift Energy Co. 39,690 476
* Swift Transportation Co., Inc. 33,700 510
* Sybase, Inc. 51,840 1,860
* Sybron Corp. 44,800 1,064
* Sylvan Learning Systems, Inc. 16,700 490
* Symantec Corp. 38,800 900
* Symbol Technologies, Inc. 22,500 889
* Synopsys, Inc. 31,126 1,187
Synovus Financial Corp. 54,500 1,553
System Software Associates, Inc. 26,550 574
* Systemed Inc. 63,400 289
* Systemix, Inc. 23,030 357
* TBC Corp. 54,875 466
TCA Cable Television, Inc. 27,500 765
TCBY Enterprises, Inc. 78,500 314
TCF Financial Corp. 24,600 815
* TCSI Corp. 25,900 473
TECO Energy, Inc. 87,800 2,250
TF Financial Corp. 20,000 304
* TGV Software, Inc. 33,500 310
TIG Holdings, Inc. 44,800 1,277
TJ International, Inc. 27,600 504
TNP Enterprises, Inc. 26,800 502
TNT Freightways 30,300 610
* T.P.I. Enterprises, Inc. 97,900 294
Talbots Inc. 24,600 707
* Talley Industries, Inc. 51,700 446
Tambrands, Inc. 27,077 1,293
* Tanknology Environmental, Inc. 1,900 3
Taubman Co. REIT 60,900 609
* Tech Data Corp. 49,100 739
* Technical Communications Corp. 14,000 107
* Technology Solutions Co. 50,400 976
Tecumseh Products Co. Class A 6,700 349
Tecumseh Products Co. Class B 11,800 602
* Tejas Gas Corp. 14,175 749
Tejon Ranch Co. 28,000 406
* Tekelec 26,300 278
* Tele-Communications
International, Inc. Series A 87,300 1,981
Teleflex Inc. 13,400 549
Telephone & Data Systems, Inc. 42,928 1,696
* Telescan, Inc. 11,700 92
Telxon Corp. 36,300 814
* Tencor Instruments 22,300 543
</TABLE>
16
<PAGE> 56
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Teradyne, Inc. 80,618 $ 2,015
Terra Industries, Inc. 81,392 1,150
* Tesoro Petroleum Corp. 54,000 466
Texas Industries, Inc. 16,757 888
* Thermedics, Inc. 42,000 1,165
* Thermo Cardiosystems Inc. 18,000 1,390
* Thermo Electron Corp. 63,725 3,314
* Thermo Fibertek, Inc. 29,600 670
* Thermo Instrument Systems, Inc. 54,950 1,854
* Thermolase Corp. 25,900 670
* Thermotrex Corp. 13,800 690
Thiokol Corp. 18,000 610
Tidewater, Inc. 37,900 1,194
Tiffany & Co. 18,766 945
* Tiger Direct Inc. 15,400 4
* Todd Shipyards Corp. 73,100 429
* Tokos Medical 52,878 472
* Toll Brothers, Inc. 22,600 520
Tootsie Roll Industries, Inc. 13,878 550
* The Topps Co., Inc. 87,240 458
The Toro Co. 18,900 621
Tosco Corp. 25,066 956
Total Petroleum
(North America) Ltd. 57,400 560
Total System Services, Inc. 43,600 1,330
Town & Country Trust 32,200 419
* Trans World Airlines 40,100 416
Transatlantic Holdings 16,300 1,196
Transpo Inc. 32,610 346
Transtechnology Corp. 28,800 389
* TransTexas Gas Corp. 50,000 681
* Transworld Home Healthcare, Inc. 33,600 296
* Tremont Corp. 49,309 820
* Triarc Cos., Inc. 50,900 560
Trimas Corp. 23,200 438
* Trimble Navigation Ltd. 37,400 701
* Trimedyne, Inc. 29,100 70
Trinity Industries, Inc. 29,450 928
* Triton Energy Corp. 26,372 1,513
True North Communications 32,700 605
* Truevision Inc. 53,800 271
Trustco Bank 29,176 644
Trustmark Corp. 19,600 439
Tucker Properties Corp. 37,300 326
* Tucson Electric Power Co. 204,100 663
* Tuesday Morning, Inc. 52,100 290
* Tultex Corp. 84,300 348
Turner Broadcasting Class A 28,200 730
Turner Broadcasting Class B 127,100 3,305
* 20th Century Industries of CA 34,400 684
* Tyco Toys, Inc. 85,398 384
Tyson Foods, Inc. 107,607 2,831
* UAL Corp. 14,800 2,642
* UCAR International, Inc. 31,200 1,053
UGI Corp. Holding Co. 21,090 438
UMB Financial Corp. 20,615 714
* UNC, Inc. 62,700 376
* URS Corp. 41,200 288
* USA Waste Service 46,899 885
* USDATA Corp., Inc. 25,950 386
* USG Corp. 32,400 972
* Ultramar Corp. 31,800 819
* Ultratech Stepper, Inc. 13,200 340
Unifi, Inc. 47,225 1,045
Union Bank of San Francisco 25,625 1,384
* Union Corp. 27,300 505
Union Pacific Resources Group, Inc. 77,400 1,964
Union Planters Corp. 27,246 868
Union Texas Petroleum
Holdings, Inc. 61,100 1,184
* Unique Mobility, Inc. 73,200 252
United Asset Management Corp. 20,100 771
United Carolina Bancshare Corp. 20,500 699
United Cos. Finance Corp. 35,626 944
United Dominion Industries Ltd. 35,185 761
United Dominion Realty 36,700 550
* United Guardian, Inc. 31,800 52
United Illuminating Co. 18,900 706
* United Insurance Cos., Inc. 43,200 813
* United International Holdings, Inc.
Class A 33,400 488
United Jersey Bank Financial Corp. 42,408 1,516
US Bancorp, Inc. 15,600 519
* U.S. Bioscience 92,041 426
* United States Cellular 62,450 2,108
* U.S. Energy Corp. 43,130 226
* U.S. Long Distance Corp. 39,600 547
* US Physical Therapy, Inc. 8,400 100
U.S. Robotics Corp. 38,744 3,405
United States Trust Corp. 12,900 638
United Stationers, Inc. 23,344 648
United Television, Inc. 16,500 1,475
* United Waste Systems, Inc. 11,600 429
United Water Resources, Inc. 48,944 587
Unitil Corp. 18,700 393
Unitrin Inc. 32,570 1,551
Universal Corp. 21,900 534
Universal Foods Corp. 16,862 677
Universal Health Realty Income 22,800 407
* Universal Health Services Class B 22,500 998
* Universal Stainless &
Alloy Products, Inc. 27,400 293
* Uranium Resources, Inc. 3,000 16
* Urohealth Systems Inc. 96,200 241
Utilicorp United, Inc. 31,628 929
* UUnet Technologies, Inc. 19,400 1,227
</TABLE>
17
<PAGE> 57
<TABLE>
<CAPTION>
Market
EXTENDED Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* VLSI Technology, Inc. 30,800 $ 556
* Vaalco Energy, Inc. 2,400 1
* Valassis Communication 28,400 497
Valero Energy Corp. 31,600 774
Valhi, Inc. 87,700 559
Valley National Bancorp 48,661 1,217
Valspar Corp. 14,200 634
Value City Department Stores, Inc. 68,100 460
* Value Health, Inc. 37,652 1,035
* ValuJet Inc. 36,700 904
* Vanguard Cellular Systems, Inc.
Class A 26,787 539
* Varco International, Inc. 65,100 781
Varian Associates, Inc. 23,200 1,108
Vastar Resources, Inc. 71,800 2,280
* Vectra Tech Inc. 25,800 55
* Vencor, Inc. 55,127 1,792
* Ventritex Inc. 30,100 529
* VeriFone, Inc. 27,200 779
* Veritas Software Corp. 17,000 638
Versa Technology, Inc. 25,200 394
* Vertex Communications Corp. 28,500 488
* Viasoft, Inc. 31,000 374
* Vicor Corp. 46,400 922
Vicorp Restaurants, Inc. 29,739 299
* Videolan Technologies, Inc. 12,000 403
Vigoro Corp. 15,100 932
* Viking Office Products 28,400 1,322
Virco Manufacturing Corp. 53,546 489
Virginia Beach Federal
Financial Corp. 37,550 289
* Vishay Intertechnology, Inc. 42,486 1,338
Vital Signs, Inc. 25,264 673
* Vivra, Inc. 22,500 565
* Vmark Software, Inc. 45,900 433
* Vons Cos., Inc. 31,500 890
Vornado Realty Trust 18,498 694
Vulcan International Corp. 5,900 128
Vulcan Materials Co. 26,500 1,527
* WHX Corp. 44,550 484
* WMS Industries, Inc. 33,600 550
WPL Holdings, Inc. 21,000 643
WPS Resources Corp. 15,000 510
* WSFS Financial Corp. 40,600 373
* Waban, Inc. 39,500 741
Wabash National Corp. 25,200 561
Wackenhut Corp. 28,200 508
Wackenhut Corp. Class B 7,050 109
* Wainoco Oil Corp. 117,400 381
Walden Residential Properties, Inc. 24,400 509
* Wall Data Inc. 21,000 344
Wallace Computer Services, Inc. 15,900 868
Warnaco Group 37,600 940
Washington Energy Co. 39,077 728
Washington Federal Inc. 30,090 775
Washington Gas Light Corp. 28,402 582
Washington Mutual Inc. 49,523 1,424
Washington National Corp. 20,972 579
Washington Post Co. Class B 8,100 2,284
Washington Real Estate
Investment Trust 41,400 657
Washington Water Power Co. 36,100 632
* Watson Pharmaceuticals, Inc. 36,102 1,769
Watts Industries Class A 26,200 609
Wausau Paper Mills Co. 18,880 519
* Wave Technologies International 40,800 237
* Wavephore, Inc. 25,000 489
* Weatherford Enterra Inc. 52,960 1,529
Del E. Webb Corp. 29,000 584
Webster Financial Corp. 19,580 570
Weingarten Realty Investors 20,000 760
Weis Markets, Inc. 28,800 814
Wellman, Inc. 24,155 549
* Wellpoint Health Networks, Inc.
Class A 72,600 2,332
Werner Enterprises, Inc. 32,500 650
Wesco Financial Corp. 5,158 939
West Co., Inc. 23,800 559
* Western Beef 15,360 84
* Western Digital Corp. 38,600 690
Western Gas Resources, Inc. 34,700 559
Western National Corp. 40,500 653
* Western Publishing Group, Inc. 45,700 363
Western Resources, Inc. 47,286 1,578
* Westmark Group Holdings, Inc. 4,000 8
* Roy F. Weston, Inc. 54,000 287
* Westpoint Stevens, Inc. 40,600 809
* Westwood One, Inc. 55,600 782
* WetSeal, Inc. Class A 54,800 380
Wheelabrator Technologies 135,406 2,268
* White River 13,342 500
* Whittaker Corp. 24,600 535
John Wiley & Sons Class A 26,400 865
* Clayton Williams Energy, Inc. 30,000 90
* Williams Sonoma, Inc. 33,400 620
Wilmington Trust Corp. 23,700 735
* Wind River Systems 16,800 486
Windmere Corp. 54,997 392
* Wisconsin Central
Transportation Corp. 12,100 792
Wisconsin Energy Corp. 83,361 2,553
* Wisconsin Pharmacal Co. 37,600 110
Wiser Oil Co. 29,600 355
Witco Chemical Corp. 41,200 1,205
Wolverine World Wide, Inc. 37,100 1,169
* Wonderware Corp. 26,000 440
</TABLE>
18
<PAGE> 58
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* World Corp. 49,900 $ 499
World Fuel Services Corp. 35,550 564
* WorldCom, Inc. 146,488 5,182
* Worldtex Inc. 83,744 481
Wyle Electronics 22,700 797
* Wyman Gordon Corp. 63,200 869
* Xilinx, Inc. 49,600 1,507
* Xoma Corp. 141,900 501
Xtra Corp. 10,200 433
Yankee Energy Systems 20,477 517
York International Corp. 29,300 1,377
* Zebra Technologies Class A 16,600 568
* Zenith Electronics Corp. 83,443 574
Zenith National Insurance Corp. 29,560 632
* Zilog Inc. 20,900 765
Zions Bancorp. 15,000 1,207
Zurich Reinsurance Centre
Holdings, Inc. 15,800 480
Zurn Industries, Inc. 10,000 214
* Zycad Corp. 105,500 877
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (97.1%)(1)
(Cost $1,075,908) 1,478,249
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TEMPORARY CASH INVESTMENTS (3.2%)
- --------------------------------------------------------------------------------
Face
Amount
(000)
----------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.33%, 3/21/96 $ 500 495
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.89%, 1/2/96 48,522 48,522
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $49,016) 49,017
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(Cost $1,124,924) 1,527,266
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.3%)
- --------------------------------------------------------------------------------
Other Assets--Notes B and E 62,667
Liabilities--Note E (66,720)
-------
(4,053)
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
(000)+
- --------------------------------------------------------------------------------
<S> <C>
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 63,273,394 outstanding
shares of beneficial interest
(unlimited authorization) $1,523,213
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $24.07
================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index futures contracts, and Standard & Poor's Midcap 400 Index
futures contracts represents 99.9% of net assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1995,
NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount Per
(000) Share
---------- ---------
<S> <C> <C>
Paid in Capital $1,099,154 $17.37
Undistributed Net
Investment Income 15 --
Accumulated Net
Realized Gains 22,165 .35
Unrealized Appreciation
(Depreciation)--Note D:
Investment Securities 402,342 6.36
Futures Contracts (463) (.01)
- --------------------------------------------------------------------------------
NET ASSETS $1,523,213 $24.07
- --------------------------------------------------------------------------------
</TABLE>
19
<PAGE> 59
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- --------------------------------------------------------------------------------
* ABC Rail Products Corp. 9,500 $ 211
* ADC Telecommunications, Inc. 14,100 513
* AES Corp. 18,026 432
AFLAC, Inc. 22,486 975
AGCO Corp. 10,100 515
* AMR Corp. 17,893 1,328
ARCO Chemical Co. 22,600 1,099
* AST Research, Inc. 28,795 248
AT&T Corp. 382,012 24,735
AT&T Capital Corp. 10,900 417
Abbott Laboratories, Inc. 190,329 7,946
* Ace Cash Express, Inc. 2,700 27
Ackerley Communications, Inc. 5,000 76
* Action Performance Cos., Inc. 30,400 414
* Acuson Corp. 11,312 140
* Adaptec, Inc. 12,500 512
Adobe Systems, Inc. 21,627 1,343
* Adtran, Inc. 17,400 950
* Advanced Magnetics, Inc. 7,000 186
* Advanced Micro Devices, Inc. 23,560 389
* Advanced Technology
Laboratories, Inc. 18,039 444
* Advanced Tissue Sciences Inc. 9,600 97
Advanta Corp. Class A 9,250 350
* Advantage Cos., Inc. 3,300 60
Aetna Life & Casualty Co. 27,150 1,880
H.F. Ahmanson & Co. 26,723 708
* Air and Water Technologies
Corp. Class A 15,400 94
Air Products & Chemicals, Inc. 26,729 1,410
Airborne Freight Corp. 12,090 322
* AirTouch Communications 117,872 3,330
Alamo Group, Inc. 11,800 212
Albank Financial Corp. 10,400 313
Albemarle Corp. 29,815 578
Alberto-Culver Co. Class B 11,923 410
Albertson's, Inc. 60,474 1,988
Alco Standard Corp. 26,706 1,218
Alex Brown, Inc. 7,280 306
Alexander & Alexander
Services, Inc. 13,920 264
Alexander & Baldwin, Inc. 10,000 232
* Alexander's, Inc. 5,300 368
* All American Semiconductor, Inc. 37,200 87
* Alleghany Corp. 1,764 349
Allegheny Ludlum Corp. 16,500 305
Allegheny Power System, Inc. 27,700 793
* Allegiant Physician Services 6,400 6
The Allen Group, Inc. 13,700 306
Allergan, Inc. 14,929 485
* Alliance Entertainment 25,300 240
* Alliance Pharmaceutical Corp. 27,000 366
* Alliance Semiconductor Corp. 19,000 218
* Alliant Techsystems, Inc. 8,600 435
Allied Capital Commercial Corp. 15,000 296
Allied Capital Lending Corp. 21,800 282
AlliedSignal Inc. 67,894 3,225
* Allmerica Financial Corp. 11,600 313
Allmerica Property & Casualty Cos. 14,300 386
Allstate Corp. 107,507 4,421
ALLTEL Corp. 44,500 1,313
* Allwaste, Inc. 22,700 108
* Altera Corp. 10,500 522
* Alumax, Inc. 10,841 332
Aluminum Co. of America 42,384 2,241
* ALZA Corp. 19,131 473
* Amax Gold, Inc. 56,293 408
AMBAC, Inc. 8,222 385
Amcast Industrial Corp. 17,100 312
* Amdahl Corp. 50,873 432
Amerada Hess Corp. 21,580 1,144
* America Online, Inc. 18,000 672
American Annuity Group Inc. 25,817 306
American Bankers Insurance Group 1,400 55
American Brands, Inc. 45,297 2,021
* American Business Information, Inc. 11,416 218
American Classic Voyager Co. 16,400 177
American Electric Power Co., Inc. 44,190 1,790
American Exploration Co. 800 9
American Express Co. 116,965 4,839
American Financial Group, Inc. 12,700 389
* American Freightways 16,104 168
American General Corp. 48,620 1,696
American Greetings Corp. Class A 16,562 458
American Health Properties, Inc. 17,800 383
American Health Properties
Psychiatric Group 1,510 23
American Home Products Corp. 74,311 7,208
American International Group, Inc. 113,772 10,524
American List Corp. 10,675 272
American Media Class A 43,500 185
American National Insurance Co. 6,100 404
* American Oncology Resources, Inc. 12,500 608
* American Power Conversion Corp. 21,000 198
American President Cos., Ltd. 9,200 212
American Re Corp. 11,300 462
* American Standard Cos., Inc. 18,300 512
American Stores Co. 35,190 941
American Studios, Inc. 86,900 103
* Ameridata Technologies 19,400 187
Ameritech Corp. 132,930 7,843
Ametek, Inc. 16,100 302
Amfed Financial, Inc. 3,700 125
* Amgen, Inc. 63,520 3,767
</TABLE>
20
<PAGE> 60
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
AMP, Inc. 52,204 $ 2,003
Amoco Corp. 119,130 8,562
* Amphenol Corp. 12,700 308
* Amsco International, Inc. 22,585 336
AmSouth Bancorp 14,174 572
Amtech Corp. 21,475 113
* Amylin Pharmaceuticals, Inc. 34,400 322
Anadarko Petroleum Corp. 13,400 725
* Analog Devices, Inc. 17,603 623
* Andrew Corp. 8,687 335
* Andros Inc. 6,700 105
Angelica Corp. 6,600 135
Anheuser-Busch Co., Inc. 61,280 4,098
* Anixter International Inc. 26,900 501
* AnnTaylor Stores Corp. 16,100 165
Anthony Industries, Inc. 9,762 224
Aon Corp. 25,748 1,284
Apache Corp. 17,869 527
Apple Computer, Inc. 28,555 908
Apple South, Inc. 12,450 266
* Applied Bioscience
International, Inc. 28,900 199
* Applied Digital Access, Inc. 14,800 178
* Applied Materials, Inc. 41,600 1,635
Arbor Drugs, Inc. 16,350 341
Archer-Daniels-Midland Co. 128,088 2,305
Argent Bank 4,000 93
Argonaut Group, Inc. 10,881 356
* Armco, Inc. 54,496 320
Armor All Products Corp. 8,800 158
Armstrong World Industries Inc. 8,592 533
* Arrow Electronics, Inc. 11,199 483
* Artisoft, Inc. 26,104 168
ASARCO, Inc. 9,924 317
* Ascend Communications, Inc. 13,200 1,072
Ashland Inc. 14,271 501
* Aspect Telecommunications 13,700 457
* Associated Group, Inc. 14,700 272
* Associated Group, Inc. Class B 2,000 37
Astro-Med, Inc. 26,500 257
* Asyst Technologies, Inc. 11,500 407
Atlanta Gas Light Co. 20,400 403
Atlanta Sosnoff Capital 19,700 286
Atlantic Energy, Inc. 25,800 497
Atlantic Richfield Co. 38,351 4,247
Atlantic Southeast Airlines Inc. 4,100 89
* Atlantic Tele-Network, Inc. 5,000 54
* Atmel Corp. 22,100 492
Atmos Energy Corp. 7,250 167
* Atwood Oceanics, Inc. 10,700 272
* Aura Systems, Inc. 65,281 369
Autodesk, Inc. 10,590 363
Automatic Data Processing, Inc. 34,501 2,562
* AutoZone, Inc. 35,200 1,016
Avemco Corp. 13,800 221
Avery Dennison Corp. 12,187 611
Aviall Inc. 24,219 227
Avnet, Inc. 10,000 447
Avon Products, Inc. 16,465 1,241
* BBN Corp. 13,200 543
BHC Communications, Inc. Class A 5,900 557
* BJ Services Co. 11,092 322
* BJ Services Co.
Warrants Exp. 04/13/00 353 3
BMC Industries, Inc. 24,800 577
* BMC Software, Inc. 11,400 486
BMJ Financial Corp. 14,800 207
* BOK Financial Corp. 5,140 110
* BPI Packaging Technologies Inc. 28,900 59
BSB Bancorp, Inc. 4,471 113
* B.U.M. International, Inc. 24,675 18
Badger Paper Mills, Inc. 9,300 144
Baker Hughes, Inc. 33,390 814
Baldor Electric Co. 7,380 148
* Baldwin Technology Class A 21,900 111
Ball Corp. 12,201 335
Ballard Medical Products 22,266 398
Baltimore Gas & Electric Co. 35,453 1,010
Banc One Corp. 94,087 3,552
Bancorp Hawaii, Inc. 10,100 362
Bandag, Inc. 5,638 305
Bandag, Inc. Class A 538 28
Bangor Hydro-Electric Co. 21,800 251
Bank of Boston Corp. 26,555 1,228
The Bank of New York Co., Inc. 46,186 2,251
Bank North Group 7,000 268
Bank South Corp. 13,800 421
BankAmerica Corp. 89,832 5,817
BankAtlantic Bancorp, Inc. 2,981 55
Bankers Corp. 13,896 227
Bankers First Corp. 9,404 264
Bankers Life Holding Corp. 25,200 510
Bankers Trust New York Corp. 18,671 1,242
BanPonce Corp. 9,477 369
* Banyan Systems, Inc. 16,100 165
C.R. Bard, Inc. 12,218 394
Barefoot, Inc. 9,400 97
* Barnes & Noble Inc. 14,676 426
Barnes Group, Inc. 2,700 97
Barnett Banks, Inc. 22,846 1,348
* Barr Labs Inc. 12,000 357
Bassett Furniture Industries, Inc. 8,363 192
Battle Mountain Gold Co. Class A 40,200 337
Bausch & Lomb, Inc. 13,368 530
</TABLE>
21
<PAGE> 61
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Baxter International, Inc. 66,558 $ 2,787
* Bay Networks 41,855 1,719
* Bay Ridge Bancorp, Inc. 12,600 277
BayBanks, Inc. 4,400 431
Bear Stearns Co., Inc. 27,589 548
BeautiControl Cosmetics 9,600 94
Beckman Instruments 10,868 384
Becton, Dickinson & Co. 15,661 1,174
* Bed Bath & Beyond, Inc. 16,726 648
Bell Atlantic Corp. 104,967 7,020
Bell Bancorp, Inc. 8,200 295
* Bell Industries, Inc. 14,794 333
BellSouth Corp. 238,110 10,358
A. H. Belo Corp. Class A 9,100 316
Bemis Co., Inc. 11,901 305
* Ben Franklin Retail Stores 1,643 5
Beneficial Corp. 12,706 592
Bergen Brunswig Corp. Class A 9,001 224
W.R. Berkley Corp. 8,600 460
* Berkshire Hathaway 283 9,084
Berkshire Realty Co., Inc. 23,300 224
* Berlitz International, Inc. 18,828 311
Berry Petroleum Class A 6,800 69
* Bertucci's Holding Corp. 47,600 241
* Best Buy, Inc. 15,100 245
* BET Holdings Inc. Class A 4,700 107
* Bethlehem Steel Corp. 25,482 357
* Bettis Corp. 6,600 32
Betz Laboratories, Inc. 12,300 504
* Beverly Enterprises Inc. 27,179 289
* Biotechnology General 26,600 122
* Biogen, Inc. 8,500 521
* Biomet, Inc. 27,189 484
Black & Decker Corp. 20,341 717
* Black Hawk Gaming &
Development Co., Inc. 13,300 71
E.W. Blanch Holdings, Inc. 13,500 315
Blimpie International, Inc. 11,700 129
Block Drug Co. Class A 6,442 225
H & R Block, Inc. 24,856 1,007
Boatmen's Bancshares, Inc. 29,646 1,214
Bob Evans Farms, Inc. 11,500 220
Boddie-Noell Properties Inc. 12,800 160
The Boeing Co. 82,314 6,451
Boise Cascade Corp. 10,638 368
Borg-Warner Automotive, Inc. 11,700 374
* Borland International, Inc. 17,700 293
* Boston Market, Inc. 10,800 346
Boston Edison Co. 20,000 590
* Boston Scientific Corp. 38,625 1,893
Bowater, Inc. 8,500 302
Brandon Systems Corp. 4,779 122
Breed Technological Inc. 15,700 290
Briggs & Stratton Corp. 12,028 522
* Bright Voice Systems, Inc. 17,000 234
* Brinker International, Inc. 33,924 513
Bristol-Myers Squibb Co. 121,614 10,444
* Broadband Technologies, Inc. 11,900 192
* Broderbund Software, Inc. 6,488 395
* Brooklyn Bancorp, Inc. 8,500 345
Brooklyn Union Gas Co. 11,550 338
* Brothers Gourmet Coffees, Inc. 46,600 175
Brown-Forman Corp. Class B 15,951 582
Browning-Ferris Industries, Inc. 51,109 1,508
Brunos Inc. 375 4
Brunswick Corp. 21,597 518
Bryn Mawr Bank Corp. 1,900 100
* Burlington Coat Factory
Warehouse Corp. 9,675 99
* Burlington Industries 2,697 35
Burlington Northern Santa Fe Corp. 33,720 2,630
Burlington Resources, Inc. 29,800 1,170
Burnham Pacific Properties, Inc. 14,000 135
* Business Records Corp. 3,500 136
CBI Industries, Inc. 18,291 601
CCH Inc. Class A 3,500 194
CCH Inc. Class B 7,500 415
* CFI ProServices, Inc. 18,869 277
CFSB Bancorp, Inc. 13,516 280
* C-Cube Microsystems, Inc. 7,800 489
CIGNA Corp. 17,463 1,803
CIPSCO, Inc. 12,800 499
CMAC Investment Corp. 913 40
CML Group, Inc. 14,700 75
CMS Energy Corp. 19,961 596
* CNA Financial Corp. 14,533 1,650
CPC International, Inc. 34,743 2,384
CPI Corp. 10,000 160
CRI Liquidating REIT, Inc. 26,100 91
CSX Corp. 50,806 2,318
* CUC International, Inc. 40,925 1,396
* Cabletron Systems, Inc. 17,217 1,394
Cabot Corp. 8,600 463
* Cadence Design Systems, Inc. 12,800 538
* Cadiz Land Co., Inc. 52,600 309
Cadmus Communications 9,600 256
* Cal Fed Bancorp Inc. 30,400 479
* Caldor Corp. 57,300 186
Calgon Carbon Corp. 34,800 418
Caliber System Inc. 9,017 441
* California Federal Bank
Goodwill Participation Certificates 2,540 12
Callaway Golf Co. 29,200 661
* CAM Designs, Inc. 11,600 97
</TABLE>
22
<PAGE> 62
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Camco International, Inc. 16,800 $ 470
* Cameron Ashley Building Products 29,300 291
Campbell Soup Co. 59,599 3,576
* Canandaigua Wine Co., Inc. Class A 5,808 190
* Canonie Environmental
Services Corp. 3,600 14
Capital Bancorporation 5,100 189
Capital Cities/ABC, Inc. 36,720 4,530
Capital One Financial Corp. 15,008 358
Capital Re Corp. 12,100 372
Capitol American Financial Corp. 8,500 192
* Capsure Holdings 20,100 354
Caraustar Industries, Inc. 18,300 370
Cardinal Health, Inc. 11,575 634
* CareAdvantage, Inc. 43,000 13
Caremark International, Inc. 19,164 347
* Carmike Cinemas, Inc. Class A 13,800 310
Carnival Cruise Lines, Inc. 66,972 1,632
Carolina Power & Light Co. 36,366 1,255
Carpenter Technology Corp. 9,500 391
Carter-Wallace, Inc. 16,600 189
* Cascade Communications Corp. 6,500 553
Case Corp. 16,400 750
* Casino Magic Corp. 39,900 122
* Castle & Cooke, Inc. 4,700 79
* Catalina Marketing Corp. 7,080 444
* Catellus Development Corp. 37,200 223
Caterpillar, Inc. 47,198 2,773
* Catherines Stores 32,700 266
* Cellular Communications Series A 7,100 356
* Cellular Technical Services Co. 8,827 203
* Celtrix Labs 25,300 65
Center Banks Inc. 14,800 213
Centerior Energy Corp. 33,100 294
Centex Corp. 9,836 342
* Centigram Communications 14,600 286
* Centocor, Inc. 33,948 1,052
Central & South West Corp. 45,702 1,274
Central Fidelity Banks, Inc. 8,750 279
Central Hudson Gas & Electric Corp. 12,800 395
Central Louisiana Electric Co. 13,508 363
Central Newspapers Inc. 14,050 441
Central Reserve Life Corp. 14,900 141
Century Telephone Enterprises, Inc. 13,580 431
* Ceridian Corp. 10,335 426
* Chalone Wine Group Ltd. 27,800 252
Champion International Corp. 23,252 976
* Chantal Pharmaceutical Corp. 10,100 275
Charming Shoppes, Inc. 11,392 33
Charter One Financial 23,820 726
The Chase Manhattan Corp. 41,857 2,537
* Checkers Drive-In Restaurant 119,550 121
Chelsea GCA Realty, Inc. 12,900 387
Chemed Corp. 4,100 159
Chemical Banking Corp. 60,454 3,552
Chesapeake Corp. of Virginia 10,217 303
Chester Valley Bancorp. 992 19
Chevron Corp. 156,372 8,209
* Cheyenne Software, Inc. 20,625 539
* Chic by H.I.S., Inc. 46,100 254
Chiquita Brands International, Inc. 19,235 264
* Chiron Corp. 9,613 1,063
Chittenden Corp. 8,218 261
Chrysler Corp. 91,242 5,052
The Chubb Corp. 20,681 2,001
Church and Dwight, Inc. 16,400 303
Churchill Downs, Inc. 3,200 107
* Cidco, Inc. 10,200 259
Cilcorp, Inc. 6,600 280
Cincinnati Bell, Inc. 15,900 552
Cincinnati Financial Corp. 12,545 815
Cincinnati Milacron, Inc. 9,100 239
CINergy Corp. 37,166 1,138
Cintas Corp. 11,200 501
* Circon Corp. 16,200 327
Circuit City Stores, Inc. 23,236 642
* Circus Circus Enterprises Inc. 24,641 687
* Cirrus Logic 14,500 287
* Cisco Systems, Inc. 65,128 4,864
Citicorp 101,942 6,855
Citizens Corp. 15,800 294
* Citizens Utilities Co. Class A 53,702 685
Clayton Homes Inc. 21,581 461
* Clear Channel Communications 8,312 367
* Cliffs Drilling Co. 21,000 312
The Clorox Co. 12,302 881
* Coast Savings Financial, Inc. 15,000 519
Coastal Corp. 24,816 924
* Coastal Physician Group, Inc. 16,000 216
Coca-Cola Bottling Co. 7,700 269
The Coca-Cola Co. 303,735 22,552
Coca-Cola Enterprises, Inc. 31,200 835
Coeur D'Alene Mines Corp. 15,900 272
* Cognex Corp. 17,000 595
* Coleman Inc. 10,366 364
Collective Bancorp, Inc. 11,449 292
Colgate-Palmolive Co. 34,451 2,420
* Coltec Inc. 20,200 235
* Columbia Gas Systems, Inc. 11,698 513
Columbia/HCA Healthcare Corp. 106,447 5,402
Comcast Corp. Class A 12,860 227
Comcast Corp. Class A Special 44,450 808
* Comdial Corp. 20,366 188
Comdisco, Inc. 24,450 553
</TABLE>
23
<PAGE> 63
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Comerica, Inc. 26,752 $ 1,073
* Commander Aircraft Co. 28,600 95
Commerce Bancshares, Inc. 8,820 336
Commercial Federal Corp. 12,800 483
Commercial Intertech Corp. 12,200 221
Commercial Metals Co. 9,600 238
* Community Healthcare Systems 7,799 278
* Community Psychiatric Centers 29,163 357
* COMPAQ Computer Corp. 63,580 3,052
* Compression Labs, Inc. 37,300 238
* CompUSA, Inc. 10,800 336
Computer Associates
International, Inc. 57,791 3,287
* Computer Sciences Corp. 13,384 940
* Compuware Corp. 12,500 234
Comsat Corp. 10,700 199
ConAgra, Inc. 58,983 2,433
* Cone Mills Corp. 16,500 186
* Conmed Corp. 11,068 274
Connecticut Natural Gas Corp. 2,400 56
Connecticut Water Services, Inc. 6,400 178
* Conner Peripherals, Inc. 26,407 554
Conrail, Inc. 18,848 1,319
Conseco Co., Inc. 7,300 457
* Consilium, Inc. 18,700 224
Consolidated Edison Co.
of New York, Inc. 55,896 1,789
Consolidated Freightways, Inc. 11,200 297
Consolidated Natural Gas Co. 22,485 1,020
Consolidated Papers 10,500 589
* Consolidated Stores, Inc. 22,459 488
* Continuum Co. 9,900 391
* Control Data Corp. 28,533 563
Cooper Industries, Inc. 25,912 952
Cooper Tire & Rubber Co. 19,452 479
* Coram Healthcare Corp. 25,408 111
* Cordis Corp. 4,300 432
CoreStates Financial Corp. 32,785 1,242
* Cornerstone Imaging, Inc. 16,200 237
Corning, Inc. 54,723 1,751
* Country Star Restaurants, Inc. 18,600 37
Countrywide Credit Industries, Inc. 23,617 514
* Coventry Corp. 4,055 84
* Cox Communications Class A 60,135 1,173
Cracker Barrel Old Country
Stores, Inc. 16,754 290
* Craig Corp. 14,577 144
Crane Co. 14,648 540
* Cray Research, Inc. 14,009 347
* Creative Technology 28,300 38
* Credit Acceptance Corp. 23,400 480
* Cree Research, Inc. 33,200 494
Crescent Real Estate Equities, Inc. 11,500 392
Crestar Financial Corp. 9,320 551
Criimi Mae Inc. 15,900 133
Crompton & Knowles Corp. 21,500 285
* Crosscom Corp. 23,300 266
* Crown Books Corp. 29,100 338
* Crown Cork & Seal Co., Inc. 20,835 870
Crown Crafts, Inc. 22,600 260
* Crown Vantage, Inc. 17,424 244
* Cryomedical Sciences 111,300 230
Cummins Engine Co., Inc. 9,066 335
* Cygne Designs, Inc. 59,800 54
* Cygnus Inc. 25,600 570
* Cypress Semiconductor Corp. 18,200 232
Cyprus AMAX Minerals Co. 22,248 581
* Cytec Industries, Inc. 7,918 494
* Cytrex Corp. 23,600 27
* DMX Inc. 66,000 157
DPL, Inc. 25,450 630
DQE Inc. 17,600 541
* DSC Communications Corp. 27,302 1,010
DTE Energy Co. 34,696 1,197
* Daily Journal Corp. 3,100 126
Dames & Moore, Inc. 17,800 216
Dana Corp. 24,346 712
Danaher Corp. 13,700 435
* Darden Restaurants Inc. 37,695 448
* Data Race, Inc. 63,400 341
* Dataware Technologies, Inc. 28,700 244
Dauphin Deposit Bank & Trust 12,320 357
* Dave and Busters 20,640 253
* Davel Communications Group, Inc. 22,000 289
Dayton-Hudson Corp. 16,894 1,267
Dean Foods Corp. 9,567 263
Dean Witter Discover & Co. 40,250 1,892
Deere & Co. 61,892 2,182
* Dell Computer 21,200 738
Delmarva Power & Light Co. 14,200 323
* Delphi Information Systems Inc. 35,900 49
Delta Air Lines, Inc. 11,823 873
Deluxe Corp. 19,336 561
Dentsply International 13,100 523
* Department 56 Inc. 10,295 395
* Desoto, Inc. 17,000 60
* Destec Energy Inc. 30,200 415
* Detroit Diesel Corp. 14,200 264
Developers Diversified Realty Corp. 10,400 312
Devon Energy Corp. 15,433 394
Dexter Corp. 10,800 255
Diagnostic Products Corp. 8,100 307
The Dial Corp. 21,524 638
* Dial Page, Inc. 15,400 242
</TABLE>
24
<PAGE> 64
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Diamond Offshore Drilling, Inc. 13,000 $ 439
Diebold, Inc. 6,793 376
* Digi International, Inc. 3,600 68
* Digital Equipment Corp. 34,884 2,237
Dillard Department Stores Class A 27,250 777
* Dime Bancorp, Inc. 50,882 592
Dimon Inc. 22,950 404
The Walt Disney Co. 124,919 7,370
Dole Food Co. 14,100 494
Dollar General Corp. 16,212 336
Dominion Resources, Inc. 41,643 1,718
R.R. Donnelley & Sons Co. 36,502 1,437
Donnelly Corp. 12,800 189
* Dovatron International Inc. 9,957 340
* Dove Audio, Inc. 19,000 246
Dover Corp. 27,242 1,005
Dow Chemical Co. 64,580 4,545
Dow Jones & Co., Inc. 22,495 897
* Dravo Corp. 20,039 240
* The Dress Barn, Inc. 7,400 72
Dresser Industries, Inc. 43,176 1,052
Dreyer's Grand Ice Cream, Inc. 9,400 316
* Drug Emporium, Inc. 71,570 291
E.I. du Pont de Nemours & Co. 133,112 9,301
* Dual Drilling Co. 32,200 370
Duke Power Co. 49,311 2,336
The Dun & Bradstreet Corp. 40,472 2,621
Duracell International, Inc. 28,125 1,455
Duriron Co., Inc. 13,150 307
Duty Free International Inc. 6,274 100
* Dynatech Corp. 14,200 243
EG & G, Inc. 24,936 605
* EMC Corp. 54,000 830
* ESSEF Corp. 9,900 161
* ESS Technology, Inc. 1,300 30
Eastern Bancorp, Inc. 8,800 232
Eastern Enterprises 9,077 320
Eastern Utilities Associates 9,071 214
Eastman Chemical 19,644 1,230
Eastman Kodak Co. 81,977 5,492
Eaton Corp. 18,496 992
Echlin, Inc. 14,442 527
Echo Bay Mines Ltd. 30,100 312
* Eckerd Corp. 8,000 357
Ecolab, Inc. 14,692 441
Edison Brothers Stores, Inc. 142,600 267
* Edisto Resources Corp. 46,200 329
* Edo Corp. 17,800 89
* Education Alternatives, Inc. 42,400 191
A.G. Edwards & Sons, Inc. 14,033 335
El Paso Natural Gas 7,349 209
* Electronic Arts 12,900 338
* Electronics for Imaging, Inc. 13,200 573
Emerging Markets Infrastructure
Fund, Inc. 4,400 46
Emerson Electric Co. 53,917 4,408
Empire District Electric Co. 14,800 265
* Empire of Carolina, Inc. 8,900 62
* Emulex Corp. 23,950 250
Energen Corp. 9,800 236
* Energy Ventures Inc. 13,900 351
Engelhard Corp. 34,064 741
Enova Corp. 27,100 644
Enron Corp. 60,682 2,314
Enron Global Power &
Pipelines L.L.C. 4,000 100
Enron Oil & Gas Co. 37,524 901
ENSERCH Corp. 27,212 442
Entergy Corp. 54,024 1,580
Equifax, Inc. 36,700 784
The Equitable Cos. 43,900 1,054
Equitable of Iowa Co. 13,700 440
Equitable Resources, Inc. 13,900 434
Equus Gaming Co. LP A Units 1,000 3
Essex Property Trust, Inc. 15,200 293
* Ethan Allen Interiors Inc. 14,600 297
Ethyl Corp. 28,630 358
* Evergreen Media Corp. 11,500 368
* Exabyte Corp. 12,100 178
Excel Realty Trust, Inc. 11,600 238
Exide Corp. 10,700 491
* Exide Electronics Group, Inc. 7,138 104
Expeditors International of
Washington, Inc. 5,900 154
* Express America Holdings Co. 13,400 46
* Express Scripts 10,900 550
* Exstar Financial Corp. 5,800 9
Exxon Corp. 298,684 23,932
* FHP International Corp. 14,000 396
* FMC Corp. 8,576 580
FMC Gold Co. 40,600 167
* FM Properties Inc. 35,900 58
F.N.B. Corp. 8,538 184
FPL Group, Inc. 44,134 2,047
* FTP Software, Inc. 13,300 387
Factory Stores of America, Inc. 15,500 203
Fair Issac & Co. 11,300 287
Family Dollar Stores, Inc. 13,300 183
Farmer Brothers, Inc. 1,500 205
Fastenal Co. 8,800 374
Fay's Drug Co. 10,075 76
Fedders Corp. 30,045 173
Fedders Corp. Class A 15,226 65
* Federal Express Corp. 13,521 999
Federal Home Loan Mortgage Corp. 43,408 3,625
</TABLE>
25
<PAGE> 65
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Federal-Mogul Corp. 9,000 $ 177
Federal National Mortgage Assn. 65,596 8,142
Federal Paper Board Co., Inc. 10,828 562
Federal Signal Corp. 21,562 558
* Federated Department Stores 48,800 1,342
Ferro Corp. 12,200 284
Fifth Third Bancorp 15,300 1,115
* 50-Off Stores, Inc. 7,400 8
* Figgie International Inc. Class A 9,500 100
* Figgie International Inc. Class B 900 9
* Filene's Basement Corp. 91,300 220
* FileNet Corp. 8,700 408
Fina Inc. 6,300 318
Fingerhut Co. 11,854 164
Finova Group, Inc. 10,200 492
* First Alert, Inc. 21,700 190
First American Bank Corp. 14,800 657
First American Corp. (Tenn.) 11,600 551
First American Financial Corp. 9,600 257
First Bancorp of Ohio 8,300 246
First Bank System, Inc. 32,600 1,618
First Chicago NBD Corp. 75,636 2,988
First Citizens BancShares Class A 2,000 109
First Colony Corp. 11,524 292
First Commerce Bancshares Inc.
Class A 2,900 62
First Commerce Corp. 9,192 292
First Commonwealth Financial Corp. 6,400 112
First Data Corp. 52,495 3,511
First Empire State Corp. 1,700 371
* First Federal Financial 21,800 308
First Fidelity Bancorp. 19,278 1,453
First Financial Bancorp 2,591 90
First Financial Savings Assn. 5,600 127
First Hawaiian, Inc. 15,800 472
First Interstate Bancorp. 18,294 2,497
First Michigan Bank Corp. 12,573 347
First Midwest Bancorp 9,300 270
First Security Corp. 11,650 446
First Source Corp. 1,636 38
First Tennessee National Corp. 8,400 507
First Union Corp. 42,296 2,353
First Union Real Estate 24,200 169
First USA Inc. 13,600 604
First Virginia Banks, Inc. 7,407 309
First Western Bancorp 7,822 214
Firstar Corp. 17,566 696
Firstbank Puerto Rico 17,325 388
Firstier Financial Inc. 11,050 482
* FIserv, Inc. 11,200 335
Fisher Scientific International Inc. 5,000 167
Fleet Financial Group, Inc. 61,029 2,487
Fleetwood Enterprises, Inc. 23,858 614
Fleming Cos., Inc. 14,236 294
FlightSafety International, Inc. 7,500 377
Florida Progress Corp. 22,150 784
Flowers Industries, Inc. 9,150 111
Fluor Corp. 19,681 1,299
Food Lion Inc. Class A 104,100 599
Food Lion Inc. Class B 7,694 44
* Foodmaker, Inc. 31,700 186
Ford Motor Co. 257,574 7,470
* Fore Systems, Inc. 11,400 679
* Foreland Corp. 2,700 4
Foremost Corp. of America 5,300 270
* Forest City Enterprise Class A 4,300 139
* Forest Laboratories, Inc. 10,792 488
* Forstmann & Co., Inc. 3,600 2
Fort Wayne National Corp. 7,400 236
Foster Wheeler Corp. 9,579 407
* Foundation Health Co. 13,500 581
Fourth Financial Corp. 12,000 489
* FoxMeyer Health Corp. 9,862 264
Franklin Electric, Inc. 4,800 154
Franklin Resources Corp. 18,800 947
Freeport-McMoRan, Inc. 5,133 190
Freeport-McMoRan Copper &
Gold Inc. Class A 11,512 322
Freeport-McMoRan Copper &
Gold Inc. Class B 37,013 1,041
Fremont General Corp. 13,265 487
* Fresh Choice, Inc. 43,900 280
* Fritz Cos., Inc. 14,900 620
Frontier Corp. 37,956 1,139
* Fruehauf Trailer Corp. 76,500 134
* Fruit of the Loom, Inc. 16,588 404
Fulton Financial Corp. 11,700 238
Fund American Enterprise
Holding Co. 4,485 334
G & L Realty Corp. 20,600 214
GATX Corp. 6,500 316
* GC Cos. 7,391 248
GEICO Corp. 16,000 1,118
GTE Corp. 233,579 10,277
Gainsco, Inc. 9,046 103
Arthur J. Gallagher & Co. 10,300 384
Gannett Co., Inc. 33,782 2,073
The Gap, Inc. 33,974 1,427
* Gardner Denver Machinery, Inc. 17,968 336
* Gartner Group, Inc. 9,400 450
* Gateway 2000 Inc. 17,700 433
Gaylord Entertainment Class A 22,115 614
* Genentech, Inc. 27,583 1,462
General Binding Corp. 15,500 308
</TABLE>
26
<PAGE> 66
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
General Dynamics Corp. 14,658 $ 867
General Electric Co. 407,888 29,368
* General Instrument 31,000 725
General Mills, Inc. 37,695 2,177
General Motors Corp. 179,275 9,479
General Motors Corp. Class E 105,300 5,476
General Motors Corp. Class H 22,400 1,100
* General Nutrition Cos., Inc. 26,800 623
General Public Utilities Corp. 27,800 945
General Re Corp. 19,539 3,029
General Signal Corp. 11,014 357
* Genetics Institute Inc.
Depository Shares 12,800 688
* Gentex Corp. 13,500 299
* Geneva Steel Class A 6,000 41
* Gensia Inc. 30,500 156
Genuine Parts Co. 29,201 1,197
* Genzyme Corp. 9,589 597
* Genzyme Corp. Tissue Repair 4,700 75
Georgia Gulf Corp. 8,802 271
Georgia-Pacific Corp. 21,998 1,510
Giant Food, Inc. Class A 13,668 431
Giant Industries, Inc. 29,700 364
* Gibson Greetings, Inc. 23,000 369
Giddings & Lewis, Inc. 9,400 154
Gilbert Associates, Inc. Class A 5,000 61
* Gilead Sciences, Inc. 14,800 477
Gillette Co. 106,584 5,556
P.H. Glatfelter Co. 21,000 360
* Glenayre Technologies, Inc. 9,350 582
* Global Industrial Technologies, Inc. 18,591 351
* Global Natural Resources, Inc. 21,600 227
* Global Village Communication 21,900 417
* Go Video, Inc. 37,500 47
Golden West Financial Corp. 13,976 772
The BF Goodrich Co. 6,000 409
The Goodyear Tire & Rubber Co. 36,572 1,659
* Goody's Family Clothing 19,550 176
Gorman-Rupp Co. 3,825 59
Goulds Pumps, Inc. 3,709 92
W.R. Grace & Co. 22,776 1,347
Graco, Inc. 5,600 171
W.W. Grainger, Inc. 11,736 778
Granite Construction Co. 9,200 291
Graphic Industries, Inc. 12,000 144
Great Atlantic & Pacific Tea Co., Inc. 16,701 384
Great Lakes Chemical Corp. 15,207 1,095
Great Western Financial Corp. 32,341 825
Green Mountain Power Corp. 9,700 269
Green Point Financial Corp. 12,900 343
Green Tree Financial Corp. 33,100 873
* Greyhound Lines, Inc. 67,400 291
* Groundwater Technology, Inc. 22,300 309
* Gtech Holdings Corp. 20,100 523
Guaranty National Corp. 13,500 208
Guidant Corp. 23,740 1,003
Guilford Mills, Inc. 8,300 169
* Gupta Corp. 33,200 166
HBO and Co. 8,500 650
* HFS Inc. 11,500 940
Halliburton Co. 26,842 1,359
* Hamburger Hamlet Restaurants 24,000 16
Hancock Fabrics, Inc. 13,800 124
Handleman Co. 18,061 104
Hannaford Brothers Co. 20,100 495
Harcourt General, Inc. 17,415 729
John H. Harland Co. 15,887 332
Harley-Davidson, Inc. 18,612 535
Harmon Industries, Inc. 15,300 230
Harnischfeger Industries Inc. 11,138 370
Harper Group, Inc. 5,600 100
* Harrah's Entertainment, Inc. 23,681 574
Harris Corp. 9,108 498
* Harris Computer Systems 2,285 30
Harsco Corp. 5,984 348
Harte-Hanks Communications Co. 14,700 290
Hartford Steam Boiler Inspection &
Insurance Co. 7,257 363
Hasbro, Inc. 20,377 632
Haverfield Corp. 6,270 88
Hawaiian Electric Industries Inc. 13,465 522
Health Care Properties Investors 8,600 302
Health Care REIT, Inc. 10,200 184
* Health Management Associates
Class A 16,200 423
* Health Management Systems, Inc. 10,200 395
* Health Professionals, Inc. 6,700 2
Health and Retirement
Properties Trust 16,300 265
* Health Systems 11,800 379
* HealthCare Compare Corp. 11,200 489
* Healthcare & Retirement Corp. 6,400 224
* Healthdyne Inc. 22,600 198
* Healthdyne Information
Enterprises, Inc. 17,700 42
* Healthdyne Technologies, Inc. 13,746 156
* Healthsource, Inc. 14,800 533
* HEALTHSOUTH Corp. 21,530 627
* Healthwise of America Inc. 10,840 421
* Heartland Express, Inc. 12,999 263
Hechinger Co. Class A 55,300 245
Hechinger Co. Class B 5,118 24
* Hecla Mining Co. 32,800 226
Heilig-Meyers Co. 10,100 186
</TABLE>
27
<PAGE> 67
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
H.J. Heinz Co. 87,696 $ 2,905
Helmerich & Payne, Inc. 10,793 321
Herbalife International, Inc. 8,100 71
Hercules, Inc. 26,886 1,516
Hershey Foods Corp. 18,510 1,203
Hewlett-Packard Co. 125,826 10,538
Hibernia Corp. Class A 29,022 312
Hillenbrand Industries, Inc. 16,300 552
Hilton Hotels Corp. 11,388 700
* Hinsdale Financial Corp. 12,375 272
* Hogan Systems, Inc. 14,400 196
Holly Corp. 11,100 251
* Hollywood Park, Inc. 20,100 201
Home Depot, Inc. 114,260 5,470
Home Financial Corp. 2,581 40
* Home Shopping Network, Inc. 43,300 390
Homeland Bankshares Corp. 5,600 165
Homestake Mining Co. 31,881 498
Honeywell, Inc. 30,098 1,464
Horace Mann Educators Corp. 9,500 297
Horizon Financial Corp. 14,320 192
Hormel Foods Corp. 17,400 428
* Horsehead Resource Development
Co., Inc. 19,600 86
* Host Marriott 36,724 487
Household International, Inc. 23,518 1,391
Houston Industries, Inc. 63,068 1,529
* Hovnanian Enterprises Class A 27,800 209
Hubbell Inc. Class A 700 43
Hubbell Inc. Class B 8,250 542
Hudson Foods Inc. Class A 17,200 297
* Humana, Inc. 38,446 1,052
* Human Genome Sciences, Inc. 5,800 221
* Hungarian Teleconstruct Corp. 12,000 41
Hunt Manufacturing Co. 15,700 273
J.B. Hunt Transport Services, Inc. 11,100 187
Huntington Bancshares Inc. 31,957 763
* Hyperion Software Corp. 14,348 307
IBP, Inc. 11,100 561
ICN Pharmaceuticals 10,147 195
* IEC Electronics Corp. 32,600 293
* IGI, Inc. 11,490 95
* IHOP Corp. 2,600 67
IMC Global Inc. 13,606 556
IRT Property Co. 27,200 252
* I-STAT Corp. 7,500 242
* ITT Corp. 27,800 1,473
* ITT Hartford Group, Inc. 27,400 1,325
ITT Industries, Inc. 27,400 658
Idaho Power Co. 14,200 426
Ideon Group 32,100 325
* IDEX Corp. 9,750 400
* IDEXX Laboratories 11,700 547
Illinois Central Corp. 9,700 372
Illinois Tool Works, Inc. 27,764 1,638
Illinova Corp. 17,400 522
* Image Business Systems Corp. 23,400 1
* Immucor Inc. 28,000 263
* Immulogic Pharmaceutical Corp. 10,400 198
* Immune Response 70,517 399
* Immunomedics Inc. 14,400 85
* Infinity Broadcasting Corp. 13,312 496
* Information Resources, Inc. 21,835 266
* Informix Corp. 31,700 953
Ingersoll-Rand Co. 25,225 886
* Inland Steel Industries, Inc. 16,300 410
* Innovative Gaming Corp. 10,050 73
* Insilco Corp. 4,600 149
* Insituform Technologies Class A 13,600 156
* Insurance Auto Auctions, Inc. 3,000 33
Integon Corp. 13,020 269
Integra Financial Corp. 7,500 473
* Integrated Device Technology Inc. 18,300 237
Integrated Health Services, Inc. 9,600 240
Intel Corp. 198,356 11,269
Intelligent Electronics Inc. 21,714 132
Interface, Inc. 14,000 241
* Intergraph Corp. 29,073 462
* Interim Services, Inc. 8,900 308
International Business
Machines Corp. 137,006 12,570
* International Dairy Queen, Inc.
Class A 14,988 345
* International Dairy Queen, Inc.
Class B 2,300 55
* International Family
Entertainment, Inc. Class B 15,500 254
International Flavors &
Fragrances, Inc. 26,811 1,287
International Game Technology 29,402 320
* International Jensen 35,400 246
* International Lottery & Totalizator
Systems, Inc. 54,900 79
International Multifoods Corp. 11,181 225
International Paper Co. 61,114 2,315
* International Specialty Products, Inc. 16,100 175
* International Technology 103,400 271
* Interneuron Pharmaceutical, Inc. 21,700 551
Interpublic Group of Cos., Inc. 18,200 789
Interstate Bakeries 16,600 371
* Intuit, Inc. 10,200 797
Ipalco Enterprises, Inc. 8,900 339
Irwin Financial Corp. 6,200 247
ISCO, Inc. 22,085 213
* ISIS Pharmaceuticals, Inc. 4,500 59
</TABLE>
28
<PAGE> 68
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
IVAX Corp. 27,600 $ 787
* JMC Group Inc. 5,200 5
JSB Financial 8,301 264
* Jacobs Engineering Group Inc. 17,100 428
James River Corp. 19,841 479
Jefferson-Pilot Corp. 17,165 798
* Jefferson Smurfit Corp. 25,300 239
Johnson & Johnson 155,467 13,312
Johnson Controls, Inc. 9,712 668
* Jones Apparel Group, Inc. 12,500 492
Jostens Inc. 16,240 394
Juno Lighting, Inc. 5,300 83
Justin Industries, Inc. 5,700 62
* KLA Instruments Corp. 11,400 298
Kmart Corp. 108,053 783
KN Energy, Inc. 1,379 40
K U Energy Corp. 11,600 348
* Kaiser Aluminum & Chemical Corp. 33,500 436
* Kaneb Services, Inc. 129,900 292
Kansas City Life Insurance Co. 2,400 127
Kansas City Power & Light Co. 14,400 376
Kansas City Southern Industries, Inc. 10,162 465
Kaufman & Broad Home Corp. 14,226 212
Kaydon Corp. 9,400 286
Kellogg Co. 52,765 4,076
Kelly Services, Inc. Class A 18,275 514
Kemper Corp. 7,900 392
Kerr-McGee Corp. 11,879 754
* Kevlin Corp. 2,200 9
KeyCorp 54,359 1,971
Keystone Financial, Inc. 2,562 77
Keystone International, Inc. 9,400 188
Kimball International, Inc. Class B 10,900 275
Kimberly-Clark Corp. 65,986 5,460
Kimco Realty Corp. 11,550 315
Kinetic Concepts, Inc. 15,300 185
* King World Productions, Inc. 8,900 346
Knight-Ridder, Inc. 11,935 746
* Kohls Corp. 8,600 452
* Komag, Inc. 9,900 454
* The Kroger Co. 29,417 1,103
Kuhlman Corp. 23,576 295
* LCI International, Inc. 29,526 605
LG&E Energy Corp. 7,150 302
LSI Industries Inc. 23,782 389
* LSI Logic Corp. 30,500 999
LTC Properties, Inc. 12,900 194
* LTV Corp. 24,100 331
* LTX Corp. 6,200 57
La Quinta Inns Inc. 11,475 314
* Laboratory Corp. of America 26,348 247
Lafarge Corp. 29,800 559
* LAM Research Corp. 9,750 445
Lancaster Colony Corp. 6,400 239
Lance, Inc. 5,721 93
* Lancer Corp. 21,550 302
* Lands' End, Inc. 15,600 213
* Lattice Semiconductor Corp. 11,650 381
Lawter International Inc. 16,534 192
* Lazare Kaplan International, Inc. 16,700 133
* Lear Seating Corp. 19,100 554
Lee Enterprises, Inc. 19,200 442
Leggett & Platt, Inc. 19,800 480
Lehman Brothers Holdings, Inc. 23,888 508
Lennar Corp. 7,800 196
* Leslie Fay Co. 15,200 1
Leucadia National Corp. 13,200 330
Libbey, Inc. 3,000 68
Liberty Bancorp, Inc. (Oklahoma) 7,100 266
* Liberty Media Group Class A 33,131 888
* Liberty Media Group Class B 1,050 29
Life Partners Group, Inc. 11,600 158
Life Re Corp. 4,700 118
* Lifecore Biomedical Inc. 7,300 138
Eli Lilly & Co. 132,216 7,437
Lilly Industries Inc. Class A 17,168 219
The Limited, Inc. 84,551 1,469
* Lin Television 15,516 465
* Lincare Holdings Inc. 16,800 418
Lincoln National Corp. 24,852 1,336
* Lindsay Manufacturing Co. 2,900 111
Linear Technology Corp. 17,496 689
* Liposome Co., Inc. 10,000 201
* Littelfuse, Inc. 6,200 226
* Litton Industries, Inc. 10,369 461
Liz Claiborne, Inc. 16,974 471
* Lockheed Martin Corp. 47,785 3,775
Loctite Corp. 8,400 399
Loews Corp. 28,300 2,218
Logicon, Inc. 3,200 88
* Lone Star Casino Corp. 49,900 6
* Lone Star Steakhouse & Saloon 11,000 421
Long Island Lighting Co. 27,235 446
Longview Fiber Co. 19,830 322
Loral Corp. 40,284 1,425
* Loronix Information Systems 27,100 72
Louisiana Land & Exploration Co. 7,999 343
Louisiana-Pacific Corp. 25,500 618
Lowes Cos., Inc. 37,514 1,257
Lubrizol Corp. 15,300 426
* L. Luria & Son, Inc. 5,100 26
* Lynx Therapeutic 2,268 2
Lyondell Petrochemical Co. 18,546 424
MBIA, Inc. 9,800 735
</TABLE>
29
<PAGE> 69
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
MBNA Corp. 34,963 $ 1,289
MCI Communications Corp. 162,490 4,255
MCN Corp. 15,100 351
* MEMC Electronic Materials, Inc. 9,900 323
* MFS Communications Co., Inc. 15,300 819
MGIC Investment Corp. 13,902 754
* MGM Grand Inc. 17,800 409
* MTL, Inc. 17,400 239
MTS Systems Corp. 9,800 325
* MacFrugal's Bargains Close-Outs, Inc. 11,300 158
The Macerich Co. 12,600 252
* Macromedia 8,200 427
Madison Gas & Electric Co. 2,600 91
* Mafco Consolidated 7,744 139
* Magma Copper Co. Class B 17,820 497
Magna Group 3,448 82
Mallinckrodt Group, Inc. 17,496 636
Manor Care Inc. 14,251 499
Manpower Inc. 18,100 509
Manufactured Home
Communities, Inc. 22,400 392
* Manville Corp. 27,800 365
Mapco Inc. 6,500 355
* Marcam Corp. 17,500 263
Marion Capital Holdings 1,500 30
Mark IV Industries, Inc. 29,057 574
* Markel Corp. 4,400 326
* Marquette Electronics Class A 1,304 27
Marsh & McLennan Cos., Inc. 17,517 1,555
Marshall & Ilsley Corp. 22,251 577
Marriott International 30,224 1,156
* Marshall Industries 11,528 370
* Martek Biosciences Corp. 11,700 291
* Marvel Entertainment Group 24,534 319
Masco Corp. 37,512 1,177
MascoTech Inc. 15,800 172
Masland Corp. 10,400 146
* Material Sciences Corp. 11,250 167
Mattel, Inc. 52,256 1,607
* Maxicare Health Plans Inc. 6,900 187
* Maxim Integrated Products, Inc. 14,200 547
* Maxxam Inc. 6,300 222
May Department Stores Co. 59,800 2,527
Maytag Corp. 24,436 495
* McAfee Associates, Inc. 10,469 449
McClatchy Newspapers, Inc. 10,600 242
McCormick & Co., Inc. 18,017 437
McDermott International, Inc. 11,302 249
McDonald's Corp. 166,620 7,519
McDonnell Douglas Corp. 27,229 2,505
The McGraw-Hill Cos. 11,903 1,037
McKesson Corp. 10,403 527
* McMoRan Oil and Gas 78,400 262
* McWorter Technologies Inc. 10,800 159
The Mead Corp. 13,059 682
* Medaphis Corp. 20,816 773
* Medar, Inc. 34,900 281
Media General, Inc. Class A 5,000 152
* MedImmune Inc. 11,500 229
Meditrust 11,600 405
Medtronic, Inc. 55,564 3,105
* Megafoods Stores, Inc. 5,100 1
Mellon Bank Corp. 35,231 1,894
Melville Corp. 24,170 743
* Men's Wearhouse, Inc. 13,950 363
Mentor Corp. 13,496 312
* Mentor Graphics Corp. 22,400 406
Mercantile Bancorp, Inc. 12,919 594
Mercantile Bankshares Corp. 11,600 321
Mercantile Stores Co., Inc. 8,390 388
Merck & Co., Inc. 297,285 19,546
Mercury Finance Co. 40,949 543
Mercury General Corp. 6,500 309
Meredith Corp. 12,750 534
Meridian Bancorp, Inc. 13,096 610
Meridian Diagnostics, Inc. 19,029 211
Merrill Lynch & Co., Inc. 42,048 2,144
* Mesa Airlines, Inc. 44,800 400
Methode Electronics, Inc. Class A 3,051 43
* Metrocall, Inc. 12,300 234
* Fred Meyer, Inc. 16,000 360
Michael Foods, Inc. 19,300 227
* Micrion Corp. 25,400 270
* Micro Warehouse Inc. 9,700 422
* Micron Electronics, Inc. 20,200 218
Micron Technology Inc. 49,700 1,969
* Microsoft Corp. 141,094 12,390
Mid Am Inc. 5,408 89
Mid Atlantic Realty Trust 30,000 259
* Mid Atlantic Medical Services 22,500 546
* Mid-American Waste Systems, Inc. 60,300 211
Midamerican Energy Co. 39,600 663
Middlesex Water Co. 6,000 111
Midlantic Corp. 12,000 788
Herman Miller, Inc. 7,329 222
Millipore Corp. 11,038 454
* Milwaukee Land Co. 7,700 57
Minerals Technologies, Inc. 10,600 387
Minnesota Mining &
Manufacturing Co. 100,806 6,678
Minnesota Power & Light Co. 8,800 250
* Mirage Resorts, Inc. 21,450 740
Mitchell Energy & Development
Corp. Class A 6,200 115
</TABLE>
30
<PAGE> 70
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Mobil Corp. 95,294 $ 10,673
* Mobile Telecommunications
Technologies Corp. 14,700 314
* Mobilemedia Corp. 12,000 266
Modine Manufacturing Co. 5,862 142
* Mohawk Industries, Inc. 16,400 251
* Molecular Biosystems, Inc. 32,600 224
Molex, Inc. 23,296 745
The Money Store 23,062 360
Monsanto Co. 27,787 3,404
Montana Power Co. 12,900 292
J.P. Morgan & Co., Inc. 45,171 3,625
* Morgan Products Ltd. 9,300 55
Morgan Stanley Group, Inc. 30,016 2,420
Morrison Restaurants 10,875 152
Morton International, Inc. 35,643 1,279
Mosinee Paper Corp. 3,520 92
Motorola, Inc. 142,064 8,098
* Mueller Industries Inc. 2,000 59
* Multicare Cos., Inc. 8,900 214
Murphy Oil Corp. 10,200 423
* Musicland Stores Corp. 28,200 120
* Mycogen Corp. 17,700 303
Mylan Laboratories, Inc. 27,450 645
NAC Re Corp. 9,500 342
NCH Corp. 3,300 191
* NCI Building Systems, Inc. 11,300 278
* NFO Research Inc. 11,635 303
NIPSCO Industries Inc. 14,430 552
NPC International Class A 15,100 108
* NS Group Inc. 72,500 181
N.S. Bancorp Inc. 3,900 152
NYMAGIC, Inc. 5,000 85
Nabisco Holdings Corp. Class A 9,600 313
* Nabors Industries, Inc. 47,500 528
NACCO Industries, Inc. Class A 3,669 204
Nalco Chemical Co. 15,300 461
Nash-Finch Co. 3,900 70
Nashua Corp. 3,800 52
* National Auto Credit Co. 19,939 324
National Bankcorp of Alaska Inc. 3,700 244
* National City Bancorporation 7,189 155
National City Corp. 34,697 1,149
National Fuel & Gas Co. 13,700 461
* National Gaming Corp. 20,680 243
National Health Investors REIT 13,400 444
National Presto Industries, Inc. 2,937 117
National Re Holdings Corp. 9,000 342
* National Semiconductor Corp. 29,818 663
National Service Industries, Inc. 11,291 366
* National Steel Corp. Class B 24,400 314
NationsBank, Inc. 68,527 4,771
Nationwide Health Properties, Inc. 10,900 458
* Navistar International Corp. 15,316 161
Neiman Marcus Group Inc. 14,596 343
* Nellcor Puritan Bennett, Inc. 6,200 362
Thomas Nelson, Inc. 8,250 107
* Neostar Retail Group 19,800 145
* Netscape Communications Corp. 9,000 1,252
* Network General Corp. 13,156 436
* Neurogen Corp. 13,500 367
Nevada Power Co. 21,648 482
New England Electric System 14,700 582
New Jersey Resources Corp. 3,800 114
* New Mexico & Arizona Land Co. 20,240 243
New Plan Realty Trust 19,949 436
New York Bancorp Inc. 4,290 97
New York State Electric & Gas Corp. 16,900 437
New York Times Co. Class A 22,939 680
* Newcare Health Corp. 252 1
Newell Co. 37,794 978
Newhall Land & Farming Co. 17,700 301
Newmont Gold Co. 22,609 989
Newmont Mining Corp. 20,725 938
* News Communications, Inc. 500 2
* Nexstar Pharmaceuticals Inc. 19,272 320
* Nextel Communications 45,100 668
Niagara Mohawk Power Corp. 33,296 320
NICOR, Inc. 11,156 307
Nike, Inc. Class B 34,250 2,385
* Nine West Group, Inc. 8,000 300
Noble Affiliates, Inc. 10,800 323
* Noble Drilling Corp. 47,500 425
NorAm Energy Corp. 18,354 163
* Norand Corp. 8,100 96
* Nord Resources Corp. 135,800 306
Nordson Corp. 4,700 267
Nordstrom, Inc. 19,575 790
Norfolk Southern Corp. 31,241 2,480
* Nortek, Inc. 14,800 174
North American Mortgage 15,300 325
* North American Vaccine, Inc. 23,800 336
North Fork Bancorporation, Inc. 8,400 212
Northeast Utilities 29,800 726
Northern States Power Co. 15,573 765
Northern Trust Corp. 13,400 746
Northrop Grumman Corp. 11,970 766
* Northstar Health Services, Inc. 21,850 130
* Northwest Airlines Corp. Class A 21,300 1,085
Northwest Natural Gas Co. 2,500 82
Norwest Corp. 85,058 2,807
* NovaCare, Inc. 15,488 79
* Novavax, Inc. 7,890 30
* Novell, Inc. 88,952 1,262
</TABLE>
31
<PAGE> 71
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Novellus Systems, Inc. 4,300 $ 233
* Noxso Corp. 36,200 190
Nucor Corp. 21,102 1,205
* Nu-Kote Holding, Inc. Class A 17,400 298
NYNEX Corp. 102,500 5,535
OEA, Inc. 10,900 326
* OHM Corp. 12,100 89
* O'Brien Environmental Energy
Inc. Class A 12,900 10
Occidental Petroleum Corp. 76,555 1,636
* Oceaneering International, Inc. 25,000 322
* Octel Communications Corp. 12,000 388
* Office Depot, Inc. 35,425 700
* Officemax Inc. 18,700 418
Ogden Corp. 23,745 508
Ohio Casualty Corp. 7,744 298
Ohio Edison Co. 35,501 834
Oil-Dri Corp. of America 12,200 191
Oklahoma Gas & Electric Co. 9,700 417
Old Kent Financial Corp. 10,392 426
Old Republic International Corp. 12,200 433
Olin Corp. 5,700 423
Olsten Corp. 9,750 385
Omega Healthcare Investors, Inc. 9,800 261
Omega Financial Corp. 3,508 114
Omnicom Group Inc. 17,000 633
* Oncor Inc. 46,000 207
One Valley Bancorp of
West Virginia Inc. 6,000 188
* Oneita Industries 25,730 167
ONEOK, Inc. 12,209 279
* Oracle Corp. 104,214 4,416
Oregon Steel Mills, Inc. 17,300 242
* OrNda Healthcorp 13,751 319
* Ortel Corp. 14,900 165
* Oryx Energy Co. 22,127 296
Otter Tail Power Co. 902 32
* Outback Steakhouse 11,600 417
Outboard Marine Corp. 17,252 352
Overseas Shipholding Group Inc. 14,800 281
Owens & Minor, Inc. Holding Co. 14,250 182
* Owens-Corning Fiberglas Corp. 11,852 532
* Owens-Illinois, Inc. 26,928 390
* Oxford Health Plan 7,900 583
Oxford Industries, Inc. 4,800 80
PECO Energy Corp. 52,522 1,582
PHH Corp. 2,900 136
The PMI Group Inc. 8,500 385
PNC Bank Corp. 54,602 1,761
PP&L Resources Inc. 37,802 945
PPG Industries, Inc. 48,838 2,234
Paccar, Inc. 8,739 368
Pacific Enterprises 20,070 567
Pacific Gas & Electric Co. 101,751 2,887
Pacific Telesis Group 102,972 3,462
* Pacificare Health Systems Inc.
Class A 4,600 398
* Pacificare Health Systems Inc.
Class B 2,800 244
PacifiCorp 67,138 1,427
* Paging Network Inc. 24,000 578
PaineWebber Group, Inc. 22,800 456
Pall Corp. 27,154 730
Panhandle Eastern Corp. 35,744 996
* Parametric Technology Corp. 14,400 956
Parker Hannifin Corp. 17,518 600
Paychex, Inc. 10,175 506
Penn Virginia Corp. 2,500 82
Penncorp Financial Group Inc. 9,900 291
J.C. Penney Co., Inc. 54,506 2,596
Pennzoil Co. 10,272 434
Pentair, Inc. 3,900 195
Penwest Ltd. 6,291 154
Peoples Bank of Bridgeport 20,800 398
Peoples Energy Corp. 10,371 329
* Peoplesoft Inc. 11,600 494
Pep Boys (Manny, Moe & Jack) 13,926 357
PepsiCo, Inc. 189,664 10,597
Perkin-Elmer Corp. 9,187 347
* Perrigo Co. 25,300 302
* Petrie Stores Corp. 12,469 34
* Petro Union, Inc. 35,900 6
* Petrocorp, Inc. 37,100 276
Petrolite Corp. 4,800 134
* Petsmart, Inc. 10,776 334
Pfizer, Inc. 152,092 9,582
* Pharmaceutical Markets 16,200 242
Phelps Dodge Corp. 16,358 1,018
Philip Morris Cos., Inc. 201,950 18,276
Phillips Petroleum Co. 62,835 2,144
Phillips-Van Heusen Corp. 4,100 40
Phoenix Resource Cos., Inc. 20,800 359
* Phycor, Inc. 8,300 420
* PictureTel Corp. 21,100 907
Piedmont Natural Gas, Inc. 4,600 107
Pinnacle Bancorp Group Inc. 1,100 35
Pinnacle West Capital Corp. 19,900 572
Pioneer Group Inc. 12,200 328
Pioneer Hi Bred International 20,066 1,116
Piper Jaffray Cos., Inc. 26,000 358
Pitney Bowes, Inc. 36,316 1,707
Pitt Des Moines, Inc. 2,300 89
* Pittencrieff Communication, Inc. 81,200 312
Pittsburgh & West Virginia Railroad 3,000 22
Pittston Services Group 20,300 637
</TABLE>
32
<PAGE> 72
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Plains Resources 26,500 $ 239
* Plantronics, Inc. 10,400 376
Plenum Publishing Corp. 5,200 206
Ply-Gem Industries, Inc. 9,300 151
Pogo Producing Co. 20,800 588
Polaroid Corp. 10,292 488
* Policy Management Systems Corp. 10,570 503
Portland General Electric Co. 11,900 347
Post Properties, Inc. 6,700 214
Potlatch Corp. 7,928 317
Potomac Electric Power Co. 27,400 719
* Power Control Technologies 26,679 217
Praxair, Inc. 32,631 1,097
Precision Castparts Corp. 8,550 340
Premark International, Inc. 14,890 754
Premier Industrial Corp. 19,982 490
* Premisys Communications, Inc. 11,400 644
* Price/Costco Inc. 46,350 713
T. Rowe Price 6,700 328
Price REIT, Inc. 4,700 71
* Primadonna Resorts, Inc. 17,800 258
* Prime Energy Corp. 3,000 8
* Primedex Health Systems Inc. 43,000 11
Procter & Gamble Co. 165,256 13,716
* Progress Software Corp. 11,000 410
Progressive Corp. of Ohio 16,900 826
* Promus Hotel Corp. 23,690 527
Protective Life Corp. 15,000 469
* Proteon Inc. 30,000 195
* Provident American Corp. 33,800 243
* Provident Cos., Inc. 19,700 667
Providian Corp. 22,924 934
* Proxymed Pharmacy, Inc. 17,500 101
Public Service Co. of Colorado 15,200 538
* Public Service Co. of New Mexico 21,480 379
Public Service Enterprise Group Inc. 58,819 1,801
Public Storage, Inc. 18,700 355
Puerto Rican Cement Co., Inc. 7,000 232
Puget Sound Power & Light Co. 14,585 339
Pulte Corp. 16,408 552
* Purepac Inc. 19,500 102
* Pyxis Corp. 8,900 131
* Qlogic 27,600 212
Quaker Chemical Corp. 4,100 54
The Quaker Oats Co. 31,376 1,082
* Qualcomm, Inc. 14,200 610
Quality Food Centers Inc. 6,368 141
* Quantum Restaurant Group 20,200 227
Questar Corp. 8,885 298
The Quick & Reilly Group, Inc. 11,121 228
RJR Nabisco Holdings Corp. 64,537 1,993
RPM Inc. (Ohio) 30,750 504
* RailTex, Inc. 14,500 307
* Ralcorp Holdings Inc. 18,657 452
Ralston-Purina Group 24,850 1,550
* Ramtron International Corp. 7,100 47
Raychem Corp. 10,104 575
* Raymond Corp. 9,371 216
Raymond James Financial, Inc. 15,950 337
Rayonier Inc. 13,775 460
Raytheon Co. 58,664 2,772
* Read-Right Corp. 13,686 317
Reader's Digest Assn., Inc. Class A 24,000 1,230
Reader's Digest Assn., Inc. Class B 1,500 71
* Recovery Engineering, Inc. 17,600 268
Reebok International Ltd. 18,432 521
* Regis Corp. 14,000 333
Regions Financial Corp. 10,410 448
Reliable Life Insurance Co. Class A 1,400 81
Reliance Group Holdings 59,686 515
Reliastar Financial Corp. 8,789 390
* Renaissance Communications 16,350 362
* Republic Industries, Inc. 13,760 495
Republic New York Corp. 13,600 845
* Research Medical, Inc. 12,690 341
* Revco Drug Stores, Inc. 15,600 441
Reynolds & Reynolds Class A 9,700 377
Reynolds Metals Co. 15,287 866
* Rhodes Inc. 15,000 146
Rhone-Poulenc Rorer, Inc. 32,952 1,755
* Riggs National Corp. 27,800 360
* Rightchoice Managed Care, Inc. 14,800 192
Rite Aid Corp. 19,091 654
Riverwood International Corp. 14,300 273
* Robert Half International, Inc. 15,500 649
Rochester Gas and Electric Corp. 15,752 356
Rockwell International Corp. 52,072 2,753
* Rogers Corp. 9,600 209
Rohm & Haas Co. 15,968 1,028
Rollins, Inc. 13,550 300
* Rollins Environmental Services, Inc. 68,174 196
Roosevelt Financial Group 13,134 253
Roper Industries Inc. 1,364 51
* Rowan Cos., Inc. 57,672 570
* Royal Appliance Manufacturing Co. 95,100 238
* Royal Grip, Inc. 11,600 70
Rubbermaid, Inc. 37,946 968
Russell Corp. 15,450 429
Ryder System, Inc. 17,579 435
* S&K Famous Brands Inc. 6,200 38
SBC Communications Inc. 146,118 8,402
SCEcorp 106,910 1,898
SEI Corp. 11,700 252
SJW Corp. 600 23
</TABLE>
33
<PAGE> 73
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
S-K-I, Ltd. 19,700 $ 296
* SLM International, Inc. 11,300 13
* SOI Industries, Inc. 2,675 4
* SPS Technologies, Inc. 6,700 358
* SPS Transaction Services 17,800 527
SAFECO Corp. 29,480 1,019
* Safeguard Scientifics, Inc. 14,900 738
Safety-Kleen Corp. 12,609 197
* Safeway, Inc. 25,572 1,317
St. Francis Capital Corp. 11,200 263
St. Joe Paper Co. 7,100 391
* St. Jude Medical, Inc. 16,010 686
St. Mary Land & Exploration Co. 21,100 295
St. Paul Bancorp, Inc. 14,797 378
St. Paul Cos., Inc. 19,968 1,111
Salomon, Inc. 24,685 876
Santa Anita Realty Enterprises 19,600 233
* Santa Fe Energy Resources, Inc. 46,962 452
Santa Fe Pacific Gold Corp. 28,764 349
* Santa Monica Bank 15,200 209
Sara Lee Corp. 115,546 3,683
* Satcon Technology Corp. 21,700 182
Savannah Foods & Industries, Inc. 12,100 138
* Savoy Pictures Entertainment, Inc. 32,800 207
Sbarro, Inc. 3,909 84
SCANA Corp. 23,900 684
* R. P. Scherer Corp. 4,774 235
Schering-Plough Corp. 89,490 4,900
Schlumberger Ltd. 58,247 4,034
* Scholastic Corp. 7,200 561
* Schuler Homes Inc. 17,300 135
A. Schulman Inc. 12,025 269
Charles Schwab Corp. 40,532 816
* Schweitzer-Mauduit
International, Inc. 3,737 86
Scientific-Atlanta, Inc. 32,192 483
* Scientific Games Holdings Corp. 10,200 388
* Scios Nova, Inc. 64,700 273
* Scotts Co. 10,800 209
E.W. Scripps Co. 19,276 759
* Seacor Holdings, Inc. 6,600 179
* Seagate Technology 16,758 796
* Seagull Energy Corp. 17,600 392
* Sealed Air Corp. 20,400 574
Sealright Co. 7,600 84
* Search Capital Group, Inc. 38,600 45
Sears, Roebuck & Co. 93,417 3,643
Security Capital Corp. 6,700 406
Security Capital Industrial Trust 18,800 329
Security Capital Pacific Inc. 16,969 335
Sensormatic Electronics Corp. 16,038 279
* Sequa Corp. Class A 13,800 421
* Sequent Computer Systems, Inc. 18,800 270
* Sequus Pharmaceuticals, Inc. 27,800 393
Service Corp. International 24,936 1,097
* Service Merchandise Co., Inc. 10,550 53
Shared Medical Systems Corp. 9,263 502
Shaw Industries, Inc. 32,200 475
Sherwin-Williams Co. 20,589 839
* Shiva Corp. 7,700 562
* Shoney's Inc. 19,615 201
Shopko Stores, Inc. 22,145 249
Showboat, Inc. 3,784 100
* Shuffle Master, Inc. 21,550 256
* Sierra Home Service Cos., Inc. 32,800 30
* Sierra Semiconductor 34,212 477
Sigma Aldrich Corp. 11,900 591
* Signal Technology Corp. 45,800 229
Signet Banking Corp. 13,508 321
SIG Corp. 2,800 97
* Silicon Graphics, Inc. 38,200 1,051
Simmons First National 8,700 268
Simon Property Group 13,500 329
* Sirco International Corp. 46,300 116
* Sithe Energies, Inc. 28,100 169
Sizzler International 40,825 174
A.O. Smith Corp. 16,400 340
* Smithfield Foods, Inc. 2,700 86
Smiths Food & Drug Centers, Inc.
Class B 15,196 384
J.M. Smucker Co. Class A 9,700 213
J.M. Smucker Co. Class B 2,500 48
Snap-On Inc. 9,432 427
* Sofamor/Danek Group Inc. 8,800 250
* Software Spectrum, Inc. 14,100 300
* Software Publishing Corp. 23,700 79
* Solectron Corp. 10,100 446
Sonat, Inc. 19,822 706
* Sonic Corp. 13,050 245
Sonoco Products 21,460 563
Sotheby's Holdings Class A 25,500 363
* Southdown, Inc. 14,000 273
Southern California Water Co. 3,400 69
Southern Co. 159,618 3,931
Southern National Corp. 24,150 634
Southern New England
Telecommunications Corp. 14,700 584
* Southern Pacific Rail Corp. 36,800 883
* Southland Corp. 88,300 284
SouthTrust Corp. 20,100 518
Southwest Airlines Co. 34,461 801
Southwest Bancshares, Inc. 10,700 288
Southwest Gas Corp. 10,600 187
Southwestern Energy Co. 16,300 208
</TABLE>
34
<PAGE> 74
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Southwestern Public Service Co. 9,800 $ 321
* Spacelabs Medical 7,739 222
* Spaghetti Warehouse, Inc. 4,400 22
* Specialty Chemical Resources, Inc. 29,400 59
* Spectran Corp. 5,100 28
* Spectranetics Corp. 9,300 24
* Spectrum Holobyte 32,700 211
* Spelling Entertainment 41,100 514
Spiegel, Inc. Class A 25,200 176
* Sports & Recreation 24,550 175
Springs Industries Inc. Class A 5,339 221
Sprint Corp. 83,184 3,317
Stac, Inc. 29,500 424
Standard Federal Bank 11,800 465
* Standard Microsystem 17,300 288
Standard Motor Products, Inc. 7,800 117
Standard Products Co. 4,900 86
The Stanley Works 10,252 528
* Staples, Inc. 25,218 618
Star Banc Corp. 7,200 428
* Starbucks Corp. 16,200 339
L. S. Starrett Co. Class A 5,600 145
* Starter Corp. 43,600 305
State Auto Financial Corp. 8,900 230
State Street Boston Corp. 19,400 873
* Stein Mart, Inc. 14,850 161
* Stephan Co. 8,350 130
* Sterling Chemicals, Inc. 37,900 308
* Sterling Software, Inc. 11,100 692
Stewart & Stevenson Services, Inc. 7,018 178
* Stone Container Corp. 20,812 299
* Stop & Shop Cos. Inc. 12,400 287
* Storage Technology Corp. 11,555 276
* StrataCom, Inc. 8,300 608
* Strategic Distribution, Inc. 54,178 423
* Strattec Strategy Corp. 18,105 319
* Stratus Computer, Inc. 15,700 544
Stride Rite Corp. 25,284 190
Stryker Corp. 11,400 598
Student Loan Marketing Assn. 16,500 1,087
* Styles on Video, Inc. 12,300 6
Sullivan Dental Products, Inc. 12,300 118
Sumitomo Bank of California 10,800 271
* Summit Bancorp 5,700 179
Summit Technology, Inc. 17,100 579
* Sun Coast Industries, Inc. 6,300 43
Sun Co., Inc. 17,888 490
* Sun Microsystems, Inc. 46,018 2,102
SunAmerica Inc. 12,750 606
Sunbeam Corp. 38,000 580
Sundstrand Corp. 7,200 507
* SunGard Data Systems 12,800 360
* Sunrise Medical, Inc. 12,000 222
SunTrust Banks, Inc. 27,524 1,885
* Supercuts, Inc. 17,285 140
Superior Industries International, Inc. 6,150 162
SuperValu Inc. 16,396 516
Surgical Care Affiliates, Inc. 18,300 622
Susquehanna Bankshares PA 10,100 265
* Swift Transportation Co., Inc. 5,100 77
* Swing-n-Slide Corp. 59,182 237
* Sybase, Inc. 16,420 589
* Sybron Corp. 20,096 477
* Symantec Corp. 16,700 387
* Symbol Technologies, Inc. 13,600 537
* Symmetricom Inc. 16,400 224
* Syms Corp. 7,200 54
* Synagro Technologies Inc. 1,046 2
Synalloy Corp. 5,100 106
* Synopsys, Inc. 10,000 381
Synovus Financial Corp. 18,300 522
Sysco Corp. 43,966 1,429
System Software Associates, Inc. 9,900 214
* Systemed Inc. 34,300 156
* Systemix, Inc. 6,620 103
* TBC Corp. 18,450 157
TCA Cable Television, Inc. 12,600 350
TCF Financial Corp. 11,800 391
TECO Energy, Inc. 27,100 694
TIG Holdings, Inc. 14,600 416
TJX Cos., Inc. 35,684 674
TNP Enterprises, Inc. 3,900 73
* TRO Learning, Inc. 16,500 250
TRW, Inc. 15,431 1,196
Talbots Inc. 8,200 236
Tambrands, Inc. 8,223 393
* Tandem Computers, Inc. 27,544 293
Tandy Corp. 15,800 656
Tanger Factory Outlet Centers, Inc. 12,000 300
* Target Therapeutics, Inc. 13,456 577
Taubman Co. REIT 31,500 315
* Team Rental Group, Inc. 16,700 140
* Tech Data Corp. 1,600 24
* Tech-Sym Corp. 11,300 360
Tecumseh Products Co. Class A 6,900 360
* Tejas Gas Corp. 6,380 337
Tektronix, Inc. 7,533 370
* Tele-Communications, Inc. Class A 153,027 3,051
* Tele-Communications, Inc. Class B 4,200 88
* Tele-Communications
International, Inc. Series A 28,000 635
Teledyne Inc. 13,036 334
Teleflex Inc. 863 35
Telephone & Data Systems, Inc. 14,000 553
</TABLE>
35
<PAGE> 75
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Tellabs, Inc. 20,800 $ 772
Temple-Inland Inc. 13,511 596
* Tencor Instruments 7,400 180
* Tenet Healthcare Corp. 46,767 970
Tenneco, Inc. 43,563 2,162
* Teradyne, Inc. 19,700 493
Terra Nitrogen Co. LP 1,111 42
Texaco Inc. 62,328 4,893
Texas Instruments, Inc. 45,126 2,335
Texas Utilities Co. 54,208 2,229
Textron, Inc. 20,576 1,389
* Theragenics Corp. 26,200 306
* Thermo Electron Corp. 20,075 1,044
* Thermo Fibertek, Inc. 32,650 739
* Thermo Instrument Systems, Inc. 17,375 586
Thermo Remediation, Inc. 16,400 217
* Thermedics, Inc. 19,350 537
Thiokol Corp. 3,000 102
Thomas & Betts Corp. 4,747 350
Thor Industries, Inc. 6,900 134
Thornburg Mortgage Asset Corp. 21,700 342
* 3 Com Corp. 41,411 1,933
Tidewater, Inc. 12,400 391
Tiffany & Co. 8,584 432
Timberline Software Corp. 35,700 310
Time Warner, Inc. 93,005 3,523
Times Mirror Co. Class A 26,011 881
The Timkin Co. 7,246 277
Titan Wheel International, Inc. 13,950 227
Toastmaster, Inc. 10,300 41
* Today's Man Inc. 28,400 83
* Todd Shipyards Corp. 46,600 274
* Todhunter International, Inc. 19,300 154
* Tokos Medical 33,200 297
* Toll Brothers, Inc. 22,200 511
Tootsie Roll Industries, Inc. 6,842 271
* The Topps Co., Inc. 17,597 92
Torch Energy Royalty Trust 19,900 254
Torchmark Corp. 16,685 755
Tosco Corp. 8,834 337
Total System Services, Inc. 15,400 470
* Total-Tel USA Communications, Inc. 1,320 31
Town & Country Trust 22,400 291
* Toys R Us, Inc. 66,554 1,448
* Trak Auto Corp. 14,000 219
Transamerica Corp. 16,304 1,188
Transatlantic Holdings 5,400 396
Transpo Inc. 23,725 252
* Transport Holdings, Inc. Class A 352 15
* Transworld Home Healthcare, Inc. 32,600 287
Travelers Group Inc. 76,706 4,823
* Tremont Corp. 646 11
Trenwick Group Inc. 4,800 271
Tribune Co. 15,099 923
Trimas Corp. 6,000 113
* Trimble Navigation Ltd. 14,600 274
Trinity Industries, Inc. 9,650 304
* Triton Energy Corp. 8,100 465
The Trust Company of N.J. 7,800 102
Trustmark Corp. 17,100 383
* Tucson Electric Power Co. 92,400 300
Turner Broadcasting Class A 2,400 62
Turner Broadcasting Class B 46,100 1,199
* 20th Century Industries of CA 28,200 560
Tyco International Ltd. 36,846 1,313
* Tyco Toys, Inc. 47,300 213
* Tyler Corp. 108,700 299
Tyson Foods, Inc. 34,746 914
* UAL Corp. 6,395 1,142
* UCAR International, Inc. 10,800 365
UMB Financial Corp. 9,149 317
UNR Industries, Inc. 31,200 271
UNUM Corp. 17,235 948
* URS Corp. 22,300 156
* USAir Group, Inc. 20,563 272
* USDATA Corp. 17,000 253
USF&G Corp. 25,963 438
* USG Corp. 10,700 321
USLIFE Corp. 8,061 241
UST Inc. 47,016 1,569
USX-Marathon Group 69,682 1,359
USX-U.S. Steel Group 18,801 578
* UUnet Technologies, Inc. 6,800 430
Unicom Corp. 51,461 1,685
Unifi, Inc. 15,550 344
Unifirst Corp. 5,000 90
* Unigene 28,300 38
* Unilab Corp. 17,200 46
Union Bank of San Francisco 8,700 470
Union Camp Corp. 16,745 797
Union Carbide Corp. 32,385 1,214
Union Electric Co. 24,603 1,027
Union Pacific Corp. 49,263 3,251
Union Pacific Resources Group, Inc. 20,000 508
Union Planters Corp. 8,800 281
Union Texas Petroleum
Holdings, Inc. 20,400 395
* Uniroyal Technology Corp. 1,000 3
* Unisys Corp. 37,480 211
* United Capital Corp. 12,100 83
United Healthcare Corp. 41,800 2,738
United Illuminating Co. 6,300 235
United Jersey Bank Financial Corp. 13,800 493
* United Mobile Homes, Inc. 17,100 167
</TABLE>
36
<PAGE> 76
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* United States Can Co. 6,709 $ 91
* United States Cellular 20,000 675
United States Surgical Corp. 13,262 283
United States Trust Corp. 7,551 374
United Technologies Corp. 29,639 2,812
United Television, Inc. 5,000 447
* United Waste Systems, Inc. 9,500 352
United Wisconsin 8,400 185
Unitrin Inc. 9,700 462
* Unitrode Corp. 11,711 331
Universal Corp. 10,300 251
* Universal Electronics, Inc. 18,400 141
Universal Foods Corp. 4,413 177
* Universal Health Services Class B 11,200 497
Unocal Corp. 59,101 1,721
Urban Shopping Centers REIT 14,800 316
U S WEST Communications Group 112,886 4,036
* U S WEST Media Group 112,886 2,145
U.S. Bancorp 35,955 1,207
* U.S. Bioscience 45,774 212
U.S. Healthcare, Inc. 36,485 1,694
* U.S. Robotics Corp. 11,290 992
Utilicorp United, Inc. 10,700 314
VF Corp. 15,207 802
* VLSI Technology, Inc. 18,800 340
* Vaalco Energy, Inc. 46,500 15
* Valassis Communication 29,000 508
Valero Energy Corp. 16,500 404
Valhi, Inc. 21,200 135
Valspar Corp. 5,700 254
* Value City Department Stores, Inc. 32,500 219
* Value Health, Inc. 24,372 670
* ValuJet Inc. 13,000 320
* Vanguard Cellular Systems, Inc.
Class A 17,613 354
Varian Associates, Inc. 7,700 368
* Varity Corp. 9,400 349
Vastar Resources, Inc. 23,400 743
* Vencor, Inc. 17,600 572
Venture Stores, Inc. 78,700 266
* VeriFone, Inc. 9,200 263
* Veterinary Centers of America, Inc. 18,600 314
* Viacom International Class A 4,953 227
* Viacom International Class B 81,831 3,877
* Vicorp Restaurants, Inc. 16,500 166
* Viewlogic Systems, Inc. 26,000 263
* Viking Office Products 9,300 433
Vintage Petroleum, Inc. 19,100 430
* Vishay Intertechnology, Inc. 13,620 429
* Visix Space Inc. 16,400 642
* Vmark Software, Inc. 46,016 434
* Vons Cos., Inc. 18,900 534
Vornado Realty Trust 7,600 285
Vulcan Materials Co. 8,300 478
* WCI Steel, Inc. 6,400 28
* WMS Industries, Inc. 10,600 174
WMX Technologies Inc. 116,545 3,482
WPL Holdings, Inc. 9,500 291
WPS Resources Corp. 1,021 35
* WRT Energy Corp. 28,200 22
* Waban, Inc. 15,900 298
Wabash National Corp. 10,450 233
Wachovia Corp. 41,200 1,885
Wackenhut Corp. 10,900 196
Wackenhut Corp. Class B 2,900 45
* Wahlco Environmental 38,500 58
Wal-Mart Stores, Inc. 552,298 12,358
Walbro Corp. 10,800 196
Walgreen Co. 59,236 1,770
* Walker Interactive Systems, Inc. 39,900 297
* Wall Data Inc. 16,396 268
Wallace Computer Services, Inc. 5,200 284
Warnaco Group 18,500 463
Warner-Lambert Co. 32,088 3,117
Washington Energy Co. 8,900 166
Washington Federal Inc. 14,880 383
Washington Gas Light Corp. 6,798 139
Washington Mutual Inc. 14,300 411
Washington National Corp. 3,600 99
Washington Post Co. Class B 2,600 733
Washington Water Power Co. 23,000 403
Watkins-Johnson Co. 7,100 311
* Watson Pharmaceuticals, Inc. 14,914 731
Watts Industries Class A 15,800 367
Waverly, Inc. 909 42
* Weatherford Enterra Inc. 26,854 775
Weis Markets, Inc. 9,800 277
* Wellcare Management Group, Inc. 10,100 215
Wellman, Inc. 17,945 408
* Wellpoint Health Networks, Inc.
Class A 24,000 771
Wells Fargo & Co. 11,694 2,526
Wellsford Residential Property Trust 15,400 354
Wendy's International, Inc. 23,264 494
Werner Enterprises, Inc. 9,200 184
Westbanco Inc. 1,800 50
Wesco Financial Corp. 1,142 208
* Western Atlas Inc. 12,869 650
Western Bank 13,441 254
Westcorp, Inc. 18,579 344
Western Resources, Inc. 14,300 477
Westinghouse Electric Corp. 92,814 1,531
Westport Bancorp, Inc. 2,200 15
Westvaco Corp. 24,028 667
</TABLE>
37
<PAGE> 77
<TABLE>
<CAPTION>
Market
TOTAL STOCK Value
MARKET PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* WetSeal, Inc. Class A 21,900 $ 152
Weyerhaeuser Co. 48,889 2,114
Wheelabrator Technologies 42,662 715
Whirlpool Corp. 17,847 950
* White River 8,042 302
Whitman Corp. 23,838 554
Whitney Holdings 6,570 202
Wicor, Inc. 3,300 106
Willamette Industries, Inc. 13,300 748
Williams Cos., Inc. 24,213 1,062
* Williams Sonoma, Inc. 22,000 408
Wilmington Trust Corp. 15,700 487
Winn Dixie Stores, Inc. 36,344 1,340
* Winners Entertainment, Inc. 36,700 26
* Wisconsin Central
Transportation Corp. 7,700 504
Wisconsin Energy Corp. 25,938 794
Witco Chemical Corp. 12,900 377
Wolohan Lumber Co. 28,400 279
* Wonderware Corp. 11,100 188
Woolworth Corp. 30,366 395
* World Acceptance Corp. 22,500 246
* World Corp. 33,600 336
WorldCom, Inc. 46,095 1,631
Worthington Industries, Inc. 21,702 452
Wrigley (Wm.) Jr. Co. 27,924 1,466
Wyle Electronics 8,600 302
* Wyman Gordon Corp. 30,300 417
X-Rite Inc. 10,600 152
Xerox Corp. 25,928 3,552
* Xilinx, Inc. 16,500 501
Yellow Corp. 16,747 208
York International Corp. 9,400 442
* Young Broadcasting Corp. 3,900 108
* Zebra Technologies Class A 12,400 425
Zenith National Insurance Corp. 5,400 115
* Zilog Inc. 9,000 329
Zurn Industries, Inc. 9,400 201
* Zoll Medical Corp. 31,700 277
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (97.5%)(1)
(Cost $1,197,715) 1,531,018
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Face Market
Amount Value
(000) (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS (2.8%)
- --------------------------------------------------------------------------------
U.S. TREASURY BILL--Note D
5.33%, 3/21/96 $ 1,700 $ 1,682
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.89%, 1/2/96 42,802 42,802
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $44,483) 44,484
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.3%)
(Cost $1,242,198) 1,575,502
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-.3%)
- --------------------------------------------------------------------------------
Other Assets--Notes B and E 20,679
Liabilities--Note E (25,292)
---------
(4,613)
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 104,429,024 outstanding
shares of beneficial interest
(unlimited authorization) $1,570,889
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $15.04
================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1)The combined market value of common stocks, Standard & Poor's 500 Index
futures contracts, and Standard & Poor's Midcap 400 futures contracts
represents 100.0% of net assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1995, NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount Per
(000) Share
----------- ---------
<S> <C> <C>
Paid in Capital $1,233,079 $11.80
Undistributed Net
Investment Income 623 0.01
Accumulated Net
Realized Gains 4,197 0.04
Unrealized Appreciation
(Depreciation)--Note D:
Investment Securities 333,304 3.19
Futures Contracts (314) --
- --------------------------------------------------------------------------------
NET ASSETS $1,570,889 $15.04
- --------------------------------------------------------------------------------
</TABLE>
38
<PAGE> 78
<TABLE>
<CAPTION>
Market
Value
GROWTH PORTFOLIO Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- --------------------------------------------------------------------------------
General Electric Co. 197,414 $14,214
AT&T Corp. 188,148 12,183
The Coca-Cola Co. 148,286 11,010
Merck & Co., Inc. 146,076 9,605
Philip Morris Cos., Inc. 99,338 8,990
Procter & Gamble Co. 81,128 6,734
Johnson & Johnson 76,579 6,557
* Microsoft Corp. 70,000 6,143
Wal-Mart Stores, Inc. 271,398 6,073
Intel Corp. 97,308 5,522
PepsiCo, Inc. 93,166 5,206
American International Group, Inc. 56,050 5,185
Bristol-Myers Squibb Co. 59,908 5,145
Hewlett-Packard Co. 60,500 5,067
GTE Corp. 114,500 5,038
Pfizer, Inc. 74,950 4,722
Motorola, Inc. 69,684 3,972
Abbott Laboratories, Inc. 93,484 3,903
Ameritech Corp. 65,500 3,864
McDonald's Corp. 82,030 3,702
Eli Lilly & Co. 65,228 3,669
The Walt Disney Co. 61,827 3,648
American Home Products Corp. 36,918 3,581
Bell Atlantic Corp. 51,700 3,457
Minnesota Mining &
Manufacturing Co. 49,596 3,286
Gillette Co. 52,468 2,735
Kimberly-Clark Corp. 32,898 2,722
Eastman Kodak Co. 40,400 2,707
Home Depot, Inc. 56,357 2,698
Columbia/HCA Healthcare Corp. 52,600 2,669
Unilever NV ADR 18,920 2,663
* Cisco Systems, Inc. 32,300 2,410
Schering-Plough Corp. 43,418 2,377
Pharmacia & Upjohn, Inc. 59,501 2,306
Capital Cities/ABC, Inc. 18,200 2,245
* Oracle Corp. 51,423 2,173
Emerson Electric Co. 26,524 2,168
Anheuser-Busch Co., Inc. 30,026 2,008
Kellogg Co. 25,743 1,989
* Amgen, Inc. 31,396 1,860
Sara Lee Corp. 57,200 1,823
Campbell Soup Co. 29,431 1,766
First Data Corp. 26,329 1,761
Time Warner, Inc. 45,700 1,731
Monsanto Co. 13,600 1,666
* AirTouch Communications 58,500 1,653
Computer Associates
International, Inc. 28,580 1,625
AlliedSignal Inc. 33,400 1,587
Warner-Lambert Co. 16,007 1,555
Medtronic, Inc. 27,364 1,529
* COMPAQ Computer Corp. 31,400 1,507
H.J. Heinz Co. 43,669 1,447
Norwest Corp. 41,700 1,376
United Healthcare Corp. 20,700 1,356
Burlington Northern Santa Fe Corp. 16,800 1,310
The Dun & Bradstreet Corp. 20,065 1,299
Automatic Data Processing, Inc. 17,052 1,266
First Interstate Bancorp. 9,000 1,229
Colgate-Palmolive Co. 17,201 1,208
CPC International, Inc. 17,191 1,180
ConAgra, Inc. 28,152 1,161
Texas Instruments, Inc. 22,300 1,154
Enron Corp. 29,720 1,133
Barrick Gold Corp. 41,800 1,102
General Mills, Inc. 18,708 1,080
* U S WEST Media Group 55,700 1,058
* Sun Microsystems, Inc. 22,500 1,027
Gannett Co., Inc. 16,565 1,017
AMP, Inc. 25,764 989
Albertson's, Inc. 29,874 982
Micron Technology Inc. 24,400 967
* Boston Scientific Corp. 19,100 936
Walgreen Co. 29,134 870
Pitney Bowes, Inc. 17,946 843
U.S. Healthcare, Inc. 18,100 839
* Applied Materials, Inc. 21,100 828
Illinois Tool Works, Inc. 13,918 821
Mattel, Inc. 26,088 802
Ralston-Purina Group 12,547 783
Marsh & McLennan Cos., Inc. 8,688 771
Westinghouse Electric Corp. 46,300 764
UST Inc. 22,826 762
First Bank System, Inc. 15,300 759
Hercules, Inc. 13,200 744
* CUC International, Inc. 21,150 722
Wrigley (Wm.) Jr. Co. 13,711 720
The Gap, Inc. 17,003 714
Sysco Corp. 21,494 699
* Cabletron Systems, Inc. 8,500 689
Placer Dome Group, Inc. 28,300 683
W.R. Grace & Co. 11,500 680
MBNA Corp. 17,576 648
Fluor Corp. 9,795 646
Lowes Cos., Inc. 19,000 637
Winn Dixie Stores, Inc. 17,138 632
International Flavors &
Fragrances, Inc. 13,107 629
* Novell, Inc. 43,811 619
Alco Standard Corp. 13,300 607
Avon Products, Inc. 8,017 604
Service Corp. International 13,500 594
</TABLE>
39
<PAGE> 79
<TABLE>
<CAPTION>
Market
Value
GROWTH PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* 3 Com Corp. 12,600 $ 587
Nucor Corp. 9,880 564
Praxair, Inc. 16,518 555
* The Kroger Co. 14,621 548
Marriott International 14,208 543
Freeport-McMoRan Copper
& Gold Inc. Class B 19,000 534
Pioneer Hi Bred International 9,500 528
Great Lakes Chemical Corp. 7,308 526
The Quaker Oats Co. 15,224 525
* Silicon Graphics, Inc. 19,000 523
The McGraw-Hill Cos. 5,915 515
* Humana, Inc. 18,500 506
* LSI Logic Corp. 15,100 495
* DSC Communications Corp. 13,152 485
Newmont Mining Corp. 10,720 485
Newell Co. 18,724 484
H & R Block, Inc. 11,874 481
Dover Corp. 12,932 477
Rubbermaid, Inc. 18,570 474
Tribune Co. 7,478 457
The Clorox Co. 6,214 445
* Computer Sciences Corp. 6,300 443
Comcast Corp. Class A Special 22,477 407
Interpublic Group of Cos., Inc. 9,280 403
Southwest Airlines Co. 17,000 395
* Tellabs, Inc. 10,500 389
W.W. Grainger, Inc. 5,827 386
Engelhard Corp. 17,067 371
Pall Corp. 12,664 340
* St. Jude Medical, Inc. 7,794 333
The Dial Corp. 11,100 329
* Ceridian Corp. 7,400 305
Avery Dennison Corp. 5,900 296
Sigma Aldrich Corp. 5,800 287
Raychem Corp. 5,000 284
* Harrah's Entertainment, Inc. 11,467 278
* FMC Corp. 4,034 273
Whitman Corp. 11,646 271
* Owens-Corning Fiberglas Corp. 5,537 248
Homestake Mining Co. 15,100 236
Allergan, Inc. 7,052 229
Nalco Chemical Co. 7,514 226
* ALZA Corp. 9,040 224
* Biomet, Inc. 12,387 220
Ecolab, Inc. 6,936 208
C.R. Bard, Inc. 6,288 203
Millipore Corp. 4,800 197
Foster Wheeler Corp. 4,400 187
Autodesk, Inc. 5,200 177
Tektronix, Inc. 3,600 177
Harnischfeger Industries Inc. 5,200 173
Perkin-Elmer Corp. 4,576 173
* Andrew Corp. 4,375 167
* Oryx Energy Co. 11,500 154
Bemis Co., Inc. 5,810 149
Shared Medical Systems Corp. 2,600 140
Meredith Corp. 3,100 130
Freeport-McMoRan Copper
& Gold Inc. Class A 4,000 112
Jostens Inc. 4,200 102
Cincinnati Milacron, Inc. 3,800 100
* USAir Group, Inc. 6,900 91
Trinova Corp. 3,000 86
Comcast Corp. Class A 4,555 80
* Armco, Inc. 10,600 62
* Shoney's Inc. 3,953 41
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.5%)(1)
(Cost $223,496) 269,614
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TEMPORARY CASH INVESTMENTS (2.7%)
- --------------------------------------------------------------------------------
Face
Amount
(000)
----------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.33%, 3/21/96 $ 200 198
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.89%, 1/2/96 7,193 7,193
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $7,391) 7,391
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (102.2%)
(Cost $230,887) 277,005
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-2.2%)
- --------------------------------------------------------------------------------
Receivables for Securities Sold 23,523
Other Assets--Note B 5,320
Payables for Securities Purchased (34,502)
Other Liabilities (344)
---------
(6,003)
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 19,405,382 outstanding
shares of beneficial interest
(unlimited authorization) $271,002
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $13.97
================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's Growth
Index futures contracts represents 100.1% of net assets.
40
<PAGE> 80
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1995,
NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount Per
(000) Share
---------- ---------
<S> <C> <C>
Paid in Capital $223,191 $11.50
Undistributed Net
Investment Income 142 .01
Accumulated Net
Realized Gains 1,573 .08
Unrealized Appreciation
(Depreciation)--Note D:
Investments Securities 46,118 2.38
Futures Contracts (22) --
- --------------------------------------------------------------------------------
NET ASSETS $271,002 $13.97
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- --------------------------------------------------------------------------------
Exxon Corp. 266,291 $21,337
Royal Dutch Petroleum Co. ADR 114,912 16,217
International Business
Machines Corp. 121,948 11,189
Mobil Corp. 84,870 9,505
BellSouth Corp. 213,052 9,268
General Motors Corp. 160,258 8,474
E.I. du Pont de Nemours & Co. 119,100 8,322
Amoco Corp. 106,554 7,659
SBC Communications Inc. 130,700 7,515
Chevron Corp. 139,890 7,344
Federal National Mortgage Assn. 58,463 7,257
Ford Motor Co. 230,306 6,679
Citicorp 91,146 6,130
The Boeing Co. 73,627 5,771
BankAmerica Corp. 79,363 5,139
NYNEX Corp. 91,612 4,947
Chrysler Corp. 81,995 4,540
Texaco Inc. 56,619 4,445
Travelers Group Inc. 68,457 4,304
American Express Co. 103,873 4,298
NationsBank, Inc. 57,902 4,031
Allstate Corp. 96,174 3,955
Dow Chemical Co. 56,182 3,954
Atlantic Richfield Co. 34,400 3,810
MCI Communications Corp. 145,376 3,798
* Viacom International Class B 77,300 3,662
U S WEST Communications Group 100,933 3,608
Schlumberger Ltd. 51,800 3,587
Southern Co. 142,886 3,519
Lockheed Martin Corp. 42,900 3,389
Sears, Roebuck & Co. 83,569 3,259
Federal Home Loan Mortgage Corp. 38,791 3,239
J.P. Morgan & Co., Inc. 40,327 3,236
Xerox Corp. 23,157 3,173
Banc One Corp. 83,870 3,166
Chemical Banking Corp. 53,618 3,150
WMX Technologies Inc. 103,800 3,101
Pacific Telesis Group 91,900 3,090
PPG Industries, Inc. 67,000 3,065
Sprint Corp. 74,800 2,983
Union Pacific Corp. 44,100 2,911
The Seagram Co. Ltd. 80,014 2,770
General Re Corp. 17,576 2,724
First Chicago NBD Corp. 68,777 2,717
Pacific Gas & Electric Co. 91,018 2,583
Caterpillar, Inc. 42,400 2,491
Baxter International, Inc. 59,348 2,485
United Technologies Corp. 26,166 2,483
Rockwell International Corp. 46,575 2,463
Raytheon Co. 51,950 2,455
</TABLE>
41
<PAGE> 81
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Northern Telecom Ltd. 54,400 $ 2,339
The Chase Manhattan Corp. 38,358 2,325
PNC Bank Corp. 71,925 2,320
J.C. Penney Co., Inc. 48,400 2,305
May Department Stores Co. 53,440 2,258
Wells Fargo & Co. 10,337 2,233
McDonnell Douglas Corp. 24,058 2,213
Norfolk Southern Corp. 27,840 2,210
Fleet Financial Group, Inc. 52,755 2,150
Nike, Inc. Class B 30,702 2,138
The Bank of New York Co., Inc. 42,900 2,091
Duke Power Co. 43,972 2,083
International Paper Co. 54,644 2,070
* Digital Equipment Corp. 32,219 2,066
CSX Corp. 45,100 2,058
Archer-Daniels-Midland Co. 113,680 2,046
First Union Corp. 36,570 2,034
Aluminum Co. of America 37,994 2,009
Texas Utilities Co. 48,427 1,992
Loews Corp. 25,300 1,983
Deere & Co. 56,132 1,979
Merrill Lynch & Co., Inc. 37,708 1,923
Phillips Petroleum Co. 56,100 1,914
Tenneco, Inc. 38,200 1,896
Weyerhaeuser Co. 43,642 1,888
KeyCorp 50,800 1,842
FPL Group, Inc. 39,669 1,840
The Chubb Corp. 18,621 1,802
American Brands, Inc. 38,874 1,735
Dean Witter Discover & Co. 36,204 1,702
Aetna Life & Casualty Co. 24,497 1,696
SCEcorp 95,516 1,695
CIGNA Corp. 16,319 1,685
SunTrust Banks, Inc. 24,500 1,678
Wachovia Corp. 36,500 1,670
Mellon Bank Corp. 30,322 1,630
American Electric Power Co., Inc. 39,936 1,617
Consolidated Edison Co.
of New York, Inc. 50,377 1,612
Public Service Enterprise Group Inc. 52,519 1,608
Corning, Inc. 49,100 1,571
* Tele-Communications, Inc. Class A 77,918 1,549
Unocal Corp. 52,900 1,541
Dominion Resources, Inc. 37,205 1,535
American General Corp. 43,874 1,530
Unicom Corp. 46,104 1,510
Alcan Aluminium Ltd. 48,333 1,504
The Goodyear Tire & Rubber Co. 32,690 1,483
Occidental Petroleum Corp. 68,223 1,458
PECO Energy Corp. 47,580 1,433
Entergy Corp. 48,887 1,430
Houston Industries, Inc. 56,336 1,366
Georgia-Pacific Corp. 19,700 1,352
Morgan Stanley Group, Inc. 16,700 1,346
The Limited, Inc. 76,700 1,333
ITT Corp. 25,018 1,326
First Fidelity Bancorp. 17,546 1,323
Honeywell, Inc. 27,200 1,323
Loral Corp. 36,944 1,307
R.R. Donnelley & Sons Co. 32,968 1,298
PacifiCorp 61,012 1,297
* Toys R Us, Inc. 58,600 1,275
Air Products & Chemicals, Inc. 23,976 1,265
Halliburton Co. 24,565 1,244
Household International, Inc. 20,989 1,241
Textron, Inc. 18,163 1,226
Barnett Banks, Inc. 20,754 1,224
* AMR Corp. 16,370 1,215
ALLTEL Corp. 41,100 1,212
* ITT Hartford Group, Inc. 25,018 1,210
USX-Marathon Group 61,621 1,202
Lincoln National Corp. 22,300 1,199
* Federated Department Stores 43,400 1,194
Conrail, Inc. 16,840 1,179
Dayton-Hudson Corp. 15,400 1,155
Central & South West Corp. 41,262 1,150
Morton International, Inc. 31,800 1,141
Carolina Power & Light Co. 32,962 1,137
Boatmen's Bancshares, Inc. 27,696 1,132
CoreStates Financial Corp. 29,900 1,132
Bankers Trust New York Corp. 16,873 1,122
Bank of Boston Corp. 24,101 1,115
Union Carbide Corp. 29,407 1,103
TRW, Inc. 14,070 1,090
Browning-Ferris Industries, Inc. 36,800 1,086
U.S. Bancorp 32,430 1,086
Hershey Foods Corp. 16,600 1,079
Masco Corp. 34,400 1,079
Eastman Chemical 17,200 1,077
DTE Energy Co. 31,096 1,073
Transamerica Corp. 14,629 1,066
Burlington Resources, Inc. 27,100 1,064
Becton, Dickinson & Co. 14,156 1,062
Amerada Hess Corp. 19,978 1,059
National City Corp. 31,629 1,048
CINergy Corp. 33,563 1,028
St. Paul Cos., Inc. 18,084 1,006
Comerica, Inc. 24,600 987
Williams Cos., Inc. 21,812 957
Genuine Parts Co. 23,300 955
Dresser Industries, Inc. 39,100 953
Rohm & Haas Co. 14,500 933
SAFECO Corp. 27,020 932
Phelps Dodge Corp. 14,858 925
Union Electric Co. 21,906 915
Consolidated Natural Gas Co. 19,982 907
</TABLE>
42
<PAGE> 82
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Baltimore Gas & Electric Co. 31,617 $ 901
* Federal Express Corp. 12,110 895
Panhandle Eastern Corp. 32,114 895
* Tenet Healthcare Corp. 42,922 891
Tyco International Ltd. 25,000 891
Eaton Corp. 16,600 890
General Public Utilities Corp. 25,700 874
Champion International Corp. 20,669 868
UNUM Corp. 15,600 858
PP&L Resources Inc. 34,100 853
Cooper Industries, Inc. 23,115 849
Inco Ltd. 25,480 847
American Stores Co. 31,588 845
Whirlpool Corp. 15,852 844
Coastal Corp. 22,554 840
Apple Computer, Inc. 26,276 834
Providian Corp. 20,412 832
Dow Jones & Co., Inc. 20,840 831
Ingersoll-Rand Co. 23,329 819
Times Mirror Co. Class A 24,124 817
Delta Air Lines, Inc. 10,974 811
Salomon, Inc. 22,856 811
* Crown Cork & Seal Co., Inc. 19,400 810
General Dynamics Corp. 13,494 798
Reynolds Metals Co. 13,603 770
Ohio Edison Co. 32,744 769
Great Western Financial Corp. 29,265 746
Republic New York Corp. 12,000 746
Sherwin-Williams Co. 18,300 746
Baker Hughes, Inc. 30,262 738
VF Corp. 13,643 720
Union Camp Corp. 15,056 717
Kmart Corp. 98,488 714
Northern States Power Corp. 14,536 714
Jefferson-Pilot Corp. 15,299 711
Nordstrom, Inc. 17,600 708
Kerr-McGee Corp. 11,044 701
Golden West Financial Corp. 12,558 694
Torchmark Corp. 15,347 694
Melville Corp. 22,535 693
Dillard Department Stores Class A 24,268 692
Northrop Grumman Corp. 10,515 673
H.F. Ahmanson & Co. 25,203 668
Premark International, Inc. 13,100 663
Willamette Industries, Inc. 11,800 661
Knight-Ridder, Inc. 10,524 658
Sonat, Inc. 18,474 658
Harcourt General, Inc. 15,600 653
Black & Decker Corp. 18,424 649
* Price/Costco Inc. 41,774 637
Dana Corp. 21,678 634
Hilton Hotels Corp. 10,300 633
Laidlaw Inc. Class B 60,700 622
Rite Aid Corp. 17,923 614
New York Times Co. Class A 20,669 612
Johnson Controls, Inc. 8,867 610
The Mead Corp. 11,663 609
Westvaco Corp. 21,917 608
Mallinckrodt Group, Inc. 16,600 604
ITT Industries, Inc. 25,018 600
* National Semiconductor Corp. 26,645 593
Hasbro, Inc. 18,780 582
Circuit City Stores, Inc. 20,800 575
* Western Atlas Inc. 11,338 573
Tandy Corp. 13,662 567
Louisiana-Pacific Corp. 23,100 560
USX-U.S. Steel Group 17,792 547
Brown-Forman Corp. Class B 14,917 544
Parker Hannifin Corp. 15,812 541
Beneficial Corp. 11,368 530
Temple-Inland Inc. 11,994 529
Cyprus Amax Minerals Co. 20,132 526
Federal Paper Board Co., Inc. 10,111 524
Deluxe Corp. 17,700 513
Pacific Enterprises 18,100 511
Brunswick Corp. 20,600 494
The Stanley Works 9,600 494
Wendy's International, Inc. 23,145 492
Armstrong World Industries Inc. 7,900 490
Bausch & Lomb, Inc. 12,296 487
Ashland Inc. 13,606 478
* Columbia Gas Systems, Inc. 10,845 476
Echlin, Inc. 12,900 471
Manor Care Inc. 13,400 469
Maytag Corp. 23,105 468
Harris Corp. 8,487 464
SuperValu Inc. 14,573 459
Reebok International Ltd. 16,200 458
Polaroid Corp. 9,652 457
American Greetings Corp. Class A 16,186 447
Sun Co., Inc. 16,153 442
Cooper Tire & Rubber Co. 17,900 441
Liz Claiborne, Inc. 15,877 440
James River Corp. 17,567 424
Ryder System, Inc. 17,150 424
Pennzoil Co. 9,918 419
Caliber System Inc. 8,400 410
USF&G Corp. 24,135 407
Darden Restaurants Inc. 33,900 402
* Fruit of the Loom, Inc. 16,500 402
Giant Food, Inc. Class A 12,767 402
Moore Corp. Ltd. 21,428 399
Snap-On Inc. 8,703 394
The BF Goodrich Co. 5,568 379
</TABLE>
43
<PAGE> 83
<TABLE>
<CAPTION>
Market
Value
VALUE PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Advanced Micro Devices, Inc. 22,689 $ 374
Woolworth Corp. 28,411 369
Mercantile Stores Co., Inc. 7,893 365
Paccar, Inc. 8,493 357
Boise Cascade Corp. 10,261 355
Pep Boys (Manny, Moe & Jack) 13,300 341
Santa Fe Pacific Gold Corp. 28,100 341
National Service Industries, Inc. 10,415 337
* Bethlehem Steel Corp. 24,000 336
General Signal Corp. 10,300 333
* Varity Corp. 8,700 323
Thomas & Betts Corp. 4,300 317
Cummins Engine Co., Inc. 8,500 314
Louisiana Land & Exploration Co. 7,300 313
* King World Productions, Inc. 7,900 307
Teledyne Inc. 11,900 305
NICOR, Inc. 10,922 300
Niagara Mohawk Power Corp. 31,029 299
TJX Cos., Inc. 15,711 296
Stone Container Corp. 20,500 295
ASARCO, Inc. 9,123 292
Echo Bay Mines Ltd. 27,700 287
Pittston Services Group 9,000 282
Briggs & Stratton Corp. 6,200 269
* Tandem Computers, Inc. 25,029 266
Inland Steel Industries, Inc. 10,552 265
United States Surgical Corp. 12,298 263
Fleetwood Enterprises, Inc. 10,054 259
McDermott International, Inc. 11,734 258
The Timkin Co. 6,688 256
Potlatch Corp. 6,364 254
EG & G, Inc. 10,300 250
Consolidated Freightways, Inc. 9,400 249
Crane Co. 6,500 240
NorAm Energy Corp. 27,064 240
ENSERCH Corp. 14,483 235
Peoples Energy Corp. 7,398 235
Russell Corp. 8,432 234
Ogden Corp. 10,753 230
* Beverly Enterprises Inc. 21,267 226
USLIFE Corp. 7,431 222
* Amdahl Corp. 25,769 219
Centex Corp. 6,104 212
* Unisys Corp. 37,200 209
Alberto-Culver Co. Class B 6,000 206
Longs Drug Stores, Inc. 4,249 203
Worthington Industries, Inc. 9,791 203
Safety-Kleen Corp. 12,605 197
Pulte Corp. 5,779 194
* Santa Fe Energy Resources, Inc. 19,792 191
Great Atlantic & Pacific Tea Co., Inc. 8,118 187
Adolph Coors Co. Class B 8,257 183
Alexander & Alexander Services, Inc. 9,500 181
* Rowan Cos., Inc. 17,600 174
Springs Industries Inc. Class A 4,200 174
Ball Corp. 6,293 173
Fleming Cos., Inc. 8,203 169
* Navistar International Corp. 15,900 167
Helmerich & Payne, Inc. 5,400 161
* Intergraph Corp. 9,800 154
Scientific-Atlanta, Inc. 10,200 153
Eastern Enterprises 4,200 148
* Bally Entertainment Corp. 10,200 143
* Cray Research, Inc. 5,600 139
John H. Harland Co. 6,600 138
ONEOK, Inc. 5,600 128
Giddings & Lewis, Inc. 7,078 115
Community Psychiatric Centers 9,200 113
NACCO Industries, Inc. Class A 2,000 111
* Data General Corp. 7,900 109
Luby's Cafeterias, Inc. 4,900 109
Kaufman & Broad Home Corp. 6,900 103
Outboard Marine Corp. 4,300 88
Stride Rite Corp. 10,300 77
Yellow Corp. 6,174 76
* Ryan's Family Steak Houses, Inc. 10,700 74
Charming Shoppes, Inc. 20,404 57
Zurn Industries, Inc. 2,400 51
Brown Group, Inc. 3,500 50
Handleman Co. 7,400 43
* Viacom International Class A 766 35
Norwest Corp. 600 20
Westinghouse Electric Corp. 1,000 17
* Zenith Electronics Corp. 115 1
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.6%)(1)
(Cost $407,029) 494,178
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TEMPORARY CASH INVESTMENTS (0.4%)
- --------------------------------------------------------------------------------
Face
Amount
(000)
---------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.33%, 3/21/96 $ 200 198
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.89%, 1/2/96 1,895 1,895
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $2,093) 2,093
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100%)
(Cost $409,122) 496,271
- --------------------------------------------------------------------------------
</TABLE>
44
<PAGE> 84
<TABLE>
<CAPTION>
Market
Value
(000)+
- --------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
Receivables for Securities Sold $ 44,184
Other Assets--Notes B and E 4,156
Payables for Securities Purchased (46,114)
Other Liabilities--Note E (2,170)
---------
56
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 33,551,387 outstanding
shares of beneficial interest
(unlimited authorization) $496,327
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $14.79
================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks and Standard & Poor's Value
Index futures contracts represents 99.9% of net assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1995,
NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount Per
(000) Share
--------- --------
<S> <C> <C>
Paid in Capital $399,764 $11.91
Undistributed Net
Investment Income 195 .01
Accumulated Net
Realized Gains 9,219 .27
Unrealized Appreciation
(Depreciation)--Note D:
Investment Securities 87,149 2.60
Futures Contracts -- --
- --------------------------------------------------------------------------------
NET ASSETS $496,327 $14.79
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS
- --------------------------------------------------------------------------------
AAR Corp. 39,200 $ 862
ABM Industries 22,100 613
* ABR Information Services, Inc. 18,250 789
* ACX Technologies Inc. 39,400 596
AK Steel Holding Corp. 33,900 1,161
AMLI Residential Properties Trust 21,400 428
* APS Holding Corp. 26,900 599
* AST Research, Inc. 43,759 377
* ATS Medical, Inc. 59,300 552
* Access Health Marketing, Inc. 23,000 1,023
* Accustaff, Inc. 20,800 907
Ackerley Communications, Inc. 12,400 189
* Acme Electric Corp. 43,400 396
Acordia, Inc. 22,300 666
* Actel Corp. 58,000 627
* Active Voice Corp. 16,300 436
* Acuson Corp. 52,250 647
* Acxiom Corp. 28,600 786
ADAC Laboratories 53,233 639
* Addington Resources, Inc. 30,700 443
* Adelphia Communications
Corp. Class A 37,300 247
* Advanced Technology
Laboratories, Inc. 20,000 493
* Advanced Tissue Sciences Inc. 73,200 737
* Advantage Healthcare Corp. 18,500 809
ADVO, Inc. 41,950 1,091
* Agouron Pharmaceuticals, Inc. 19,800 656
* Air and Water Technologies
Corp. Class A 32,900 202
Air Express International Corp. 25,100 571
Airborne Freight Corp. 35,000 932
* Alantec Corp. 20,500 1,194
* Alaska Air Group, Inc. 42,600 692
Albank Financial Corp. 23,700 712
Albany International Corp. 40,200 729
Alex Brown, Inc. 20,500 861
* Alexander's, Inc. 10,100 702
Alfa Corp. 55,700 954
Alico, Inc. 21,900 558
The Allen Group, Inc. 43,760 979
* Alliance Pharmaceutical Corp. 36,800 499
* Alliant Techsystems, Inc. 23,000 1,164
* Alltrista Corp. 18,793 342
* Allwaste, Inc. 120,700 573
* Alpha Industries, Inc. 29,300 414
Alpharma Inc. Class A 32,100 839
* Amax Gold, Inc. 78,131 566
Amcast Industrial Corp. 30,700 560
Amcol International Corp. 26,800 384
Amcore Financial 28,380 582
</TABLE>
45
<PAGE> 85
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Amerco Inc. 7,400 $ 152
* America West Airlines, Inc. 68,900 1,171
* American Annuity Group Inc. 51,000 606
American Bankers Insurance Group 33,300 1,305
* American Buildings Co. 18,900 421
American Filtrona Corp. 14,900 514
* American Freightways 32,800 342
American Health Properties, Inc. 33,500 720
American Health Properties
Psychiatric Group 2,870 44
American Heritage Life
Investment Corp. 26,532 607
* American Management Systems, Inc. 44,050 1,324
American Media Class A 101,000 429
* American Medical Response, Inc. 21,700 705
* American Mobile Satellite Corp., Inc. 24,400 750
American President Cos., Ltd. 44,700 1,028
* American Superconductor Corp. 38,300 565
* American Travellers Corp. 28,500 800
* Americredit Corp. 57,100 778
* Amerisource Health Corp. 36,300 1,198
Ameron, Inc. 13,700 515
Ametek, Inc. 57,600 1,080
* Ampal-American Israel Corp. 78,800 414
Amresco, Inc. 61,200 765
Amsco International, Inc. 52,400 779
Analogic Corp. 28,100 506
Anchor Bancorp Wisconsin Inc. 19,175 690
* Anchor Gaming 28,700 657
Angelica Corp. 27,000 554
* AnnTaylor Stores Corp. 39,100 401
* Antec Corp. 15,200 273
Anthony Industries, Inc. 31,010 713
Apogee Enterprises, Inc. 36,600 627
Apple South, Inc. 57,850 1,237
Applebee's International, Inc. 51,200 1,178
* Applied Bioscience International, Inc. 32,308 222
* Applied Digital Access, Inc. 46,400 557
* Applied Innovation Inc. 48,200 575
* Applied Magnetics Corp. 36,200 674
Applied Power, Inc. 18,300 549
* Applix, Inc. 37,000 999
* Apria Healthcare 75,800 2,160
Aptargroup Inc. 29,900 1,118
Aquarion Co. 24,986 637
Arbor Drugs, Inc. 34,300 716
* Arch Communications Group, Inc. 39,200 943
Arctco Inc. 49,300 638
Argonaut Group, Inc. 29,100 953
* Argosy Gaming Co. 50,400 378
* Armco, Inc. 128,500 755
Arnold Industries, Inc. 34,900 615
* Artisoft, Inc. 47,600 306
Arvin Industries, Inc. 35,500 586
Ashland Coal Inc. 20,600 440
* Aspect Telecommunications 36,200 1,208
Associated Banc-Corp. 25,883 1,055
* Associated Group, Inc. 26,524 491
* Associated Group, Inc. Class B 375 7
Astoria Financial Corp. 18,200 833
* Asyst Technologies, Inc. 14,900 527
* Atari Corp. 134,800 185
* Athena Neurosciences, Inc. 57,000 691
Atmos Energy Corp. 23,200 534
* Atria Software, Inc. 18,300 714
Augat, Inc. 26,900 461
* Aura Systems, Inc. 82,500 467
* Auspex Systems, Inc. 37,100 672
Authentic Fitness Corp. 27,900 579
* Autotote Corp. 51,500 150
Avalon Properties 47,700 1,026
* Avant! Corp. 12,675 239
* Avatar Holding, Inc. 17,600 609
Avemco Corp. 29,700 475
Aviall Inc. 69,075 648
* Avid Technology, Inc. 33,600 640
* Aztar Corp. 78,500 628
* BBN Corp. 38,600 1,587
BHC Financial Inc. 28,675 513
* BISYS Group, Inc. 31,200 952
* BJ Services Co. 48,400 1,404
BMC Industries, Inc. 54,800 1,274
BRE Properties Inc. Class A 16,700 595
BSB Bancorp, Inc. 26,873 679
BW/IP Inc. 37,200 605
* Baby Superstore, Inc. 14,300 813
J. Baker, Inc. 54,100 301
Baldor Electric Co. 40,470 814
Ballard Medical Products 44,166 789
* Bally Entertainment Corp. 76,200 1,067
Bancorpsouth, Inc. 27,100 549
* Banctec, Inc. 51,828 959
Bank of Granite Corp. 14,650 419
Bank of New Hampshire Corp. 6,700 291
Bank North Group 23,000 880
Banta Corp. 33,500 1,487
* Banyan Systems, Inc. 17,900 183
Barefoot, Inc. 42,000 433
Barnes Group, Inc. 9,500 342
* Barr Labs Inc. 20,600 613
* Barrett Resources Corp. 56,300 1,654
Bassett Furniture Industries, Inc. 21,525 495
Bay Apartment Communities, Inc. 33,700 817
* Bay Networks 22,208 912
</TABLE>
46
<PAGE> 86
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Bay State Gas Co. 20,881 $ 579
Bay View Capital Corp. 24,910 719
Beacon Properties Corp. 30,800 708
Bearings, Inc. 31,800 930
Belden Inc. 40,800 1,051
Bell Bancorp, Inc. 23,900 859
* Benson Eyecare Corp. 68,399 616
* Benton Oil & Gas Co. 37,500 560
W.R. Berkley Corp. 20,950 1,121
Berkshire Realty Co., Inc. 69,000 664
Berry Petroleum Class A 45,300 459
Bindly Western Industries, Inc. 30,300 515
Biocraft Laboratories 20,700 274
* Bio-Rad Labs, Inc. Class A 17,700 752
* Biotechnology General 139,000 639
Birmingham Steel Corp. 47,500 707
* Black Box Corp. 43,000 704
Black Hills Corp. 21,900 542
Blair Corp. 11,000 347
Blessings Corp. 28,000 291
Block Drug Co. Class A 23,362 815
* Blyth Industries, Inc. 30,000 885
* Boca Research, Inc. 21,300 572
* Boise Cascade Office Products Corp. 6,600 282
* Bombay Co. 58,975 376
* Books-a-Million Inc. 20,600 263
* Boole & Babbage Inc. 37,575 907
* Borders Group, Inc. 62,800 1,162
Borg-Warner Automotive, Inc. 41,000 1,312
* Borg-Warner Security Corp. 26,600 333
* Borland International, Inc. 45,500 754
Boston Bancorp 18,400 741
* Boston Technology, Inc. 30,700 393
Bowne & Co., Inc. 25,000 500
* Box Energy Corp. Class B 55,400 474
W.H. Brady Class A 37,800 1,002
Breed Technological Inc. 20,400 377
Brenco, Inc. 41,800 434
Brenton Banks, Inc. 22,650 484
* Bright Voice Systems, Inc. 30,000 413
* Broadband Technologies, Inc. 20,600 332
* Broadway & Seymour, Inc. 14,900 238
* Brooklyn Bancorp, Inc. 20,305 825
* Brooktree Corp. 52,600 628
Brown Group, Inc. 23,600 336
Brush Wellman, Inc. 27,500 474
* Buffets Inc. 42,700 598
* Burlington Coat Factory
Warehouse Corp. 18,100 186
* Burlington Industries 111,900 1,469
* Burr-Brown Corp. 25,900 651
* CAI Wireless Systems Inc. 40,455 387
CBL & Associates Properties, Inc. 32,100 698
CCB Financial Corp. 24,283 1,348
* C-Cor Electronics, Inc. 19,300 449
* C-Cube Microsystems, Inc. 57,000 3,577
CCH Inc. Class A 41,100 2,276
* CDI Corp. 38,500 693
CKE Restaurants Inc. 25,400 406
CMAC Investment Corp. 18,100 796
CML Group, Inc. 70,200 360
CNB Bankshares, Inc. 30,521 862
CPI Corp. 22,000 352
* CSF Holdings, Inc. 29,125 1,160
* C-TEC Corp. 32,300 997
CWM Mortgage Holdings Inc. 71,100 1,209
* Cable Design Technologies 15,800 703
Cabot Oil & Gas Corp. 36,426 533
* Cal Fed Bancorp Inc. 84,978 1,338
* Calgene, Inc. 31,600 142
Calgon Carbon Corp. 43,700 524
Cali Realty Corp. 14,200 311
* California Federal Bank
Goodwill Participation Certificates 2,667 13
* California Microwave, Inc. 24,200 398
California Water Service Co. 20,113 656
Calmat Co. 30,000 548
* Cambridge Technology Partners 19,000 1,076
Camco International, Inc. 42,000 1,176
Camden Property Trust 23,300 556
* Canandaigua Wine Co., Inc. Class A 14,800 485
* Canandaigua Wine Co., Inc. Class B 6,400 220
* Cannondale Corp. 25,000 403
Capital Re Corp. 19,800 609
Capitol American Financial Corp. 18,400 416
Capstead Mortgage Corp. 39,800 910
* Capsure Holdings 22,600 398
Caraustar Industries, Inc. 32,800 664
* Career Horizons Inc. 24,000 801
Carlisle Co., Inc. 24,100 973
* Carmike Cinemas, Inc. Class A 30,100 677
Carpenter Technology Corp. 28,200 1,160
Carr Realty Corp. 36,300 885
* Carrington Labs Inc. 18,500 576
* Carson Pirie Scott & Co. 28,800 572
Carter-Wallace, Inc. 37,700 429
Cascade Natural Gas Corp. 34,550 557
Casey's General Stores 50,700 1,106
Cash America International Inc. 89,800 494
* Casino Magic Corp. 86,000 263
* Catalina Marketing Corp. 15,900 998
* Catellus Development Corp. 121,550 729
Cato Corp. Class A 14,600 112
* Cellpro, Inc. 15,800 251
* Cellular Communications
International Inc. 19,900 843
</TABLE>
47
<PAGE> 87
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Cellular Communications of
Puerto Rico, Inc. 14,800 $ 403
* Cellular Technical Services Co. 29,712 683
* Centex Construction Products 28,000 403
* Centocor, Inc. 5,000 155
Central Hudson Gas & Electric Corp. 27,900 861
Central Louisiana Electric Co. 36,300 976
Central Maine Power Co. 54,014 776
Central Vermont Public Service Corp. 40,300 539
Centura Banks, Inc. 37,700 1,324
* Century Communications Corp.
Class A 66,816 535
* Cephalon Inc. 36,900 1,506
* Ceridian Corp. 20,000 825
* Champion Enterprises, Inc. 41,900 1,294
* Champion Healthcare Corp. 39,800 211
Chaparral Steel Co. 33,500 561
Charming Shoppes, Inc. 153,800 447
Charter One Financial 77,535 2,365
Charter Power Systems, Inc. 16,700 474
* Chase Brass Industries, Inc. 38,600 487
* Checkers Drive-In Restaurant 58,600 60
* Checkpoint Systems, Inc. 23,500 878
Chelsea GCA Realty, Inc. 25,000 750
Chemed Corp. 21,600 840
Chemical Finance 14,593 580
* The Cherry Corp. Class A 15,800 158
* The Cherry Corp. Class B 15,000 148
Chesapeake Corp. of Virginia 39,300 1,164
* Chesapeake Energy Corp. 32,400 1,077
* Cheyenne Software, Inc. 65,100 1,701
* Chic by H.I.S., Inc. 46,300 255
* Children's Discovery Centers of
America, Inc. 26,900 129
Chiquita Brands International, Inc. 46,500 639
Chittenden Corp. 24,588 781
* Christiana Cos., Inc. 16,400 369
Church and Dwight, Inc. 29,400 544
* Cidco, Inc. 15,600 396
Cilcorp, Inc. 22,700 962
* Circle K Corp. 42,200 1,071
Citicasters, Inc. 23,400 547
Citifed Bancorp 19,400 664
Citizens Bancorp MD 23,900 765
Citizens Banking Corp. 16,400 482
Citizens Corp. 38,000 708
* Citizens Utilities Co. Class B 118,040 1,490
City National Corp. 62,500 875
Claire's Stores, Inc. 36,000 635
Clarcor Inc. 22,350 455
Cleveland-Cliffs Iron Co. 19,400 795
* Clintrials Research, Inc. 27,200 551
* Coast Savings Financial, Inc. 38,500 1,333
* Coastal Physician Group, Inc. 42,500 574
* Cobra Golf, Inc. 16,400 586
Coca-Cola Bottling Co. 19,222 672
Coeur D'Alene Mines Corp. 31,543 540
* Cognex Corp. 60,200 2,107
* Coherent Communications
Systems Corp. 29,100 553
* Coherent, Inc. 18,000 736
Collective Bancorp, Inc. 33,600 857
Collagen Corp. 30,200 632
* Collins & Aikman Corp. 118,300 784
Colonial Bancgroup, Inc. 30,300 977
* Colonial Data Technologies Corp. 37,700 773
Colonial Properties Trust 25,300 645
* Columbia Laboratories Inc. 96,700 828
Columbus Realty Trust 35,000 678
Comair Holdings, Inc. 39,400 1,054
Commerce Bancorp, Inc. 34,618 764
Commerce Group, Inc. 63,100 1,301
Commercial Federal Corp. 22,700 857
Commercial Intertech Corp. 43,850 795
Commercial Metals Co. 19,866 492
* Commnet Cellular Inc. 20,800 603
Commonwealth Energy Systems 15,000 671
Communications Systems, Inc. 34,000 527
* Community Healthcare Systems 32,400 1,154
* Community Psychiatric Centers 69,850 856
* Compression Labs, Inc. 62,240 397
* Computer Horizons Corp. 21,800 820
* Computer Network Technology Corp. 84,400 375
* CompUSA, Inc. 34,600 1,077
* Computer Products, Inc. 36,822 421
* Computervision Corp. 103,800 1,596
* Comverse Technology, Inc. 33,900 682
* Concord EFS, Inc. 40,725 1,700
* Cone Mills Corp. 38,300 431
* Congoleum Corp. Class A 38,300 412
* Conmed Corp. 21,750 538
Connecticut Natural Gas Corp. 22,800 533
* Conner Peripherals, Inc. 93,300 1,959
* Continental Airlines, Inc. 27,000 1,175
* Continuum Co. 32,300 1,276
* Converse Inc. 35,799 148
Adolph Coors Co. Class B 62,200 1,380
* Copytele, Inc. 62,100 602
* Cor Therapeutics, Inc. 22,000 182
* Corrections Corp. of America 59,600 2,213
* Corrpro Cos., Inc. 58,500 366
Cousins Properties, Inc. 47,700 966
* Coventry Corp. 53,000 1,096
Crawford & Co. Class B 35,500 577
* Cray Research, Inc. 44,900 1,111
* Credence Systems Corp. 36,600 833
</TABLE>
48
<PAGE> 88
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Cree Research, Inc. 25,200 $ 375
Crescent Real Estate Equities, Inc. 35,000 1,194
Criimi Mae Inc. 84,800 710
A.T. Cross Co. Class A 22,400 339
* Crosscom Corp. 37,100 424
Crown American Realty Trust 70,100 552
* Crown Central Petroleum Corp.
Class A 27,600 407
Cubic Corp. 18,400 524
Cullen/Frost Bankers, Inc. 18,440 924
* Culligan Water Technologies 14,300 347
Curtiss-Wright Corp. 12,800 688
* Cygnus Inc. 50,600 1,126
* Cyrix Corp. 31,900 730
* Cytec Industries, Inc. 28,628 1,786
* Cytogen Corp. 77,800 402
* DSP Communications, Inc. 23,400 1,018
* DSP Group Inc. 30,200 340
* Daig Corp. 23,800 550
Dallas Semiconductor Corp. 36,700 762
Dames & Moore, Inc. 18,300 222
Daniel Industries, Inc. 35,900 512
* Danielson Holdings Corp. 52,700 362
Dart Group Corp. Class A 5,767 535
* Data General Corp. 61,100 840
* Datascope Corp. 37,100 881
* Dave and Busters 3,920 48
* Davidson and Associates, Inc. 26,000 566
DeBartolo Realty Corp. 73,700 958
Dekalb Genetics Corp. Class B 15,400 695
Delchamps, Inc. 26,653 543
Delta & Pine Land Co. 20,933 769
Delta Woodside 40,800 270
Deposit Guaranty Corp. 30,800 1,382
* Destec Energy Inc. 18,300 252
Developers Diversified Realty Corp. 26,200 786
Devon Energy Corp. 35,200 898
* Devry, Inc. 33,600 907
Dexter Corp. 42,600 1,006
Diagnostic Products Corp. 22,900 867
* Dial Page, Inc. 24,900 391
* Dialogic Corp. 18,800 731
* Digi International, Inc. 18,200 346
* Digital Link Corp. 19,800 283
* Digital Microwave Corp. 53,400 527
* Dimark, Inc. 30,600 444
Dimon Inc. 49,800 878
* Dionex Corp. 10,700 611
* Discovery Zone, Inc. 79,100 246
Donaldson Co., Inc. 37,700 947
* Doubletree Corp. 33,500 867
* Dovatron International Inc. 23,853 814
* Dravo Corp. 47,300 568
* The Dress Barn, Inc. 55,100 537
Dreyer's Grand Ice Cream, Inc. 16,400 551
* Dual Drilling Co. 36,200 416
Duke Realty Investments 40,000 1,255
* Dura Pharmaceuticals, Inc. 23,800 827
Duriron Co., Inc. 30,200 706
Duty Free International Inc. 25,100 402
* Dynatech Corp. 39,700 680
* EP Technologies, Inc. 39,900 571
* EZ Communications, Inc. 37,800 666
* Eagle Hardware & Garden, Inc. 8,000 59
Easco, Inc. 47,000 388
Eastern Enterprises 32,800 1,156
Eastern Utilities Associates 32,189 760
Eaton Vance Corp. 16,300 456
Edison Brothers Stores, Inc. 163,800 307
* Edmark Corp. 12,850 400
* Egghead, Inc. 66,200 426
Elcor Corp. 27,800 605
* Electro Rent Corp. 43,779 930
* Electro Scientific Industries, Inc. 13,300 384
* Electroglas, Inc. 31,600 798
* Electronics for Imaging, Inc. 38,600 1,674
Elizabethtown Corp. 21,100 636
* Emcare Holdings Inc. 15,300 361
Empire District Electric Co. 40,634 726
* Emulex Corp. 25,500 266
Energen Corp. 30,200 729
Enhance Financial Services
Group, Inc. 30,800 820
Ennis Business Forms, Inc. 44,850 549
* Envirosource, Inc. 106,300 332
* Envoy Corp. 29,800 520
* Enzo Biochem, Inc. 30,300 583
* Epitope Inc. 40,700 672
* Ethan Allen Interiors Inc. 36,600 746
* Evans & Sutherland Computer Corp. 30,700 695
Evans Withycombe Residential, Inc. 26,600 572
* Evergreen Media Corp. 15,000 480
* Exabyte Corp. 36,000 529
* Exar Corp. 14,800 220
* Excalibur Technologies Corp. 22,300 811
Excel Industries, Inc. 37,500 525
Executive Risk Inc. 400 12
Exide Corp. 28,800 1,321
* Exide Electronics Group, Inc. 24,000 348
Expeditors International of
Washington, Inc. 29,300 765
* Express Scripts 24,100 1,217
F & M National Corp. 29,141 583
FMC Gold Co. 63,200 261
F.N.B. Corp. 6,000 129
* FSI International, Inc. 28,000 564
</TABLE>
49
<PAGE> 89
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* FTP Software, Inc. 31,300 $ 910
* Fabri-Centers of America, Inc. 33,900 449
* Fabri-Centers of America, Inc.
Class B 33,900 364
* Falcon Building Products, Inc.
Class A 42,700 411
Family Dollar Stores, Inc. 67,700 931
Farmer Brothers, Inc. 3,350 457
Fay's Drug Co. 62,675 470
Fedders Corp. 64,400 370
Fedders Corp. Class A 67,612 287
Federal-Mogul Corp. 57,400 1,126
Federal Realty Investment Trust 53,700 1,222
Fidelity National Financial, Inc. 37,783 704
* Fieldcrest Cannon, Inc. 26,900 447
* Figgie International Inc. Class A 48,500 512
* FileNet Corp. 21,700 1,017
Financial Security Assurance
Holdings Ltd. 43,900 1,092
Financial Trust Corp. 9,666 289
Fingerhut Co. 76,300 1,059
* Firefox Communications, Inc. 19,500 451
* First Alert, Inc. 39,800 348
First American Financial Corp. 17,700 473
First Bancorp of Ohio 56,000 1,659
First Citizens BancShares Class A 14,700 803
First Commerce Bancshares Inc.
Class A 5,300 113
First Commerce Bancshares Inc.
Class B 8,000 122
First Commercial Corp. 41,959 1,374
First Commonwealth Financial Corp. 34,100 597
* First Federal Financial 37,575 531
First Financial Bancorp 18,791 651
First Financial Savings Assn. 48,700 1,108
First Industrial Realty Trust 26,000 585
First Merchants Corp. 21,600 567
First Michigan Bank Corp. 31,321 865
First Midwest Bancorp 26,700 776
First Mississippi Corp. 33,200 880
First National Bank of Gainsville 27,550 875
First Source Corp. 26,625 619
* First Team Sports, Inc. 42,000 635
Firstbank of Illinois Co. 1,760 55
Firstbank Puerto Rico 23,400 524
Firstier Financial Inc. 23,550 1,027
* Firstmiss Gold, Inc. 28,112 618
Fisher Scientific International Inc. 27,900 931
* Flagstar Cos. 85,960 258
Florida East Coast Railway Co. 9,200 628
Florida Rock Industries, Inc. 18,000 527
Flowers Industries, Inc. 96,900 1,175
Fluke Corp. 18,400 695
* Foamex International, Inc. 66,100 492
* Foodmaker, Inc. 122,500 720
* Fore Systems, Inc. 16,500 983
Foremost Corp. of America 13,500 689
Fort Wayne National Corp. 21,100 673
* FoxMeyer Health Corp. 31,484 842
* Franklin Quest Co. 30,900 603
Fremont General Corp. 20,240 744
* Friedman's Inc. Class A 31,900 606
* Fritz Cos., Inc. 25,800 1,074
Frontier Insurance Group, Inc. 22,400 717
H.B. Fuller Co. 22,850 803
Fulton Financial Corp. 47,379 965
Fund American Enterprise
Holding Co. 12,253 913
Furon Co. 29,800 596
* Fusion Systems 23,000 638
G & K Services, Inc. 42,150 1,070
* GC Cos. 17,750 595
Gables Residential Trust 39,000 892
Gainsco, Inc. 61,359 698
* Galey & Lord 45,300 487
Arthur J. Gallagher & Co. 23,600 879
* Gasonics International Corp. 23,800 327
* Gaylord Container Corp. 86,100 694
GenCorp, Inc. 38,500 472
* General Acceptance Corp. 13,600 201
* General Datacomm Industries, Inc. 44,800 767
General Growth Properties 43,200 896
* General Host Corp. 91,719 367
* Genesis Health Ventures Inc. 24,500 894
* Geneva Steel Class A 900 6
* Gentex Corp. 22,800 504
Geon Co. 40,700 992
* Geotek Industries, Inc. 60,200 386
Gerber Scientific, Inc. 28,700 466
* Gibraltar Steel 25,950 323
* Gibson Greetings, Inc. 4,000 64
Giddings & Lewis, Inc. 55,700 912
* Gilead Sciences, Inc. 39,000 1,258
* Glendale Federal 68,200 1,194
Glimcher Realty Trust 35,900 619
* Global Industrial Technologies, Inc. 36,900 696
* Global Industries, Ltd. 16,500 493
* Global Natural Resources, Inc. 81,300 854
* Global Village Communication 12,200 233
* Goody's Family Clothing 38,300 345
Gorman-Rupp Co. 27,125 420
Goulds Pumps, Inc. 33,800 843
Graco, Inc. 25,100 766
* Grancare Inc. 56,172 814
* Grand Casinos, Inc. 48,900 1,137
* Great American Management, Inc. 17,700 832
</TABLE>
50
<PAGE> 90
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Great Financial Corp. 41,500 $ 980
Green Mountain Power Corp. 19,508 541
Greenfield Industries, Inc. 28,200 878
Greif Brothers Corp. Class A 32,200 865
Grey Advertising, Inc. 2,700 539
* Griffon Corp. 85,100 766
Guilford Mills, Inc. 29,200 595
* Gulf South Medical Supply, Inc. 15,700 471
* Gupta Corp. 46,700 234
* Gymboree Inc. 41,400 851
HGI Realty 40,164 919
* Hadco Corp. 22,500 637
* Haemonetics Corp. 40,950 727
Haggar Corp. 6,300 115
* Halsey Drug Co., Inc. 1,412 5
Hancock Holding Co. 16,646 618
Handleman Co. 30,800 177
Handy & Harman 44,800 739
John H. Harland Co. 50,200 1,048
Harleysville National Corp. 1,500 41
Harman International Industries, Inc. 22,225 892
Harmon Industries, Inc. 27,500 413
Harper Group, Inc. 36,600 654
Harte-Hanks Communications Co. 35,250 696
* Hartmarx Corp. 100,800 441
Hawkeye Bancorp 35,500 952
Health Care REIT, Inc. 31,400 565
* Health Management Systems, Inc. 10,000 388
Healthcare Realty Trust Inc. 19,800 455
* Healthdyne Technologies, Inc. 37,701 429
* Healthwise of America Inc. 19,450 756
* Heart Technology, Inc. 18,800 615
* Heartland Express, Inc. 32,147 651
* Heartland Wireless
Communications, Inc. 9,200 269
* Hecla Mining Co. 75,800 521
* Heftel Broadcasting Corp. 20,400 367
Helene Curtis, Inc. 21,600 683
Helix Technology Corp. 12,300 487
Helmerich & Payne, Inc. 43,500 1,294
Herbalife International, Inc. 42,700 374
Heritage Financial Services, Inc. 30,800 581
* Heritage Media Corp. Class A 30,504 782
Highwood Properties, Inc. 30,800 870
Holly Corp. 16,800 380
* Hollywood Casino Corp. 49,800 209
* Hollywood Entertainment Corp. 32,600 277
* Hollywood Park, Inc. 40,000 400
Home Beneficial Corp. Class B 28,400 685
Home Financial Corp. 38,300 594
* Home Shopping Network, Inc. 87,300 786
* Hometown Buffet, Inc. 42,400 469
Horace Mann Educators Corp. 40,400 1,263
* Horizon/CMS Healthcare Corp. 87,631 2,213
* Hornbeck Offshore Services, Inc. 17,300 342
Houghton Mifflin Co. 23,400 1,006
* Hovnanian Enterprises Class A 67,850 509
* Hovnanian Enterprises Class B 9,650 71
Hubco, Inc. 36,201 801
Hudson Foods Inc. Class A 41,550 717
Huffy Corp. 49,500 501
Hughes Supply, Inc. 19,700 557
* Human Genome Sciences, Inc. 13,600 519
Hunt Manufacturing Co. 37,300 648
J.B. Hunt Transport Services, Inc. 36,650 618
* Hutchinson Technology, Inc. 8,900 373
Hydron Technologies, Inc. 45,500 85
* Hyperion Software Corp. 35,000 748
IBS Financial Corp. 38,200 575
ICN Pharmaceuticals 54,336 1,046
IES Industries, Inc. 49,700 1,317
* IGI, Inc. 40,100 331
* IHOP Corp. 27,100 698
IRT Property Co. 73,777 682
ISB Financial Corp. 30,700 464
* I-STAT Corp. 11,900 384
* ITI Technologies, Inc. 17,900 526
IWC Resources Corp. 25,100 505
Ideon Group 48,200 488
* Identix, Inc. 31,100 330
IDEX Corp. 32,300 1,324
* IDEXX Laboratories 60,700 2,838
* Immunex Corp. 37,400 619
* Imo Industries, Inc. 74,800 514
* Imperial Bancorp 35,603 863
* Imperial Credit 43,620 932
* In Focus Systems, Inc. 20,900 752
* Inbrand Corp. 32,900 551
* Incyte Pharmaceuticals, Inc. 22,100 553
Independent Insurance Group, Inc. 26,800 730
Indiana Energy, Inc. 31,700 757
* Information Resources, Inc. 41,900 511
* Inphynet Medical Management, Inc. 34,000 812
* Input/Output, Inc. 32,300 1,865
* Insignia Financial Group 21,400 824
* Insilco Corp. 15,100 489
* Inso Corp. 19,200 818
* Insurance Auto Auctions, Inc. 43,800 482
Integrated Health Services, Inc. 31,500 788
* Integrated Process Equipment Corp. 20,400 485
* Integrated Silicon Solution, Inc. 22,800 379
Intelligent Electronics Inc. 51,500 312
Inter-Regional Financial Group, Inc. 21,000 530
* Inter-Tel, Inc. 27,700 429
* Intercel, Inc. 23,900 406
* Interco Co. 80,500 724
</TABLE>
51
<PAGE> 91
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Interdigital Communications Corp. 67,700 $ 499
Interface, Inc. 49,700 854
* Intergraph Corp. 66,100 1,049
* Interim Services, Inc. 19,900 689
* Intermet Corp. 56,000 574
International Aluminum Corp. 14,800 425
* International Cabletel, Inc. 50,167 1,217
* International Dairy Queen, Inc.
Class A 36,700 844
* International Family
Entertainment, Inc. Class B 31,400 514
International Multifoods Corp. 26,100 525
* International Rectifier Corp. 78,400 1,960
International Shipholding Corp. 27,750 576
* International Technology 163,600 429
* Interneuron Pharmaceutical, Inc. 43,500 1,104
Interpool, Inc. 35,800 640
* Intersolv 28,100 362
Interstate Bakeries 32,700 732
Interstate Power Co. 27,800 924
* Intervoice, Inc. 41,300 780
Invacare Corp. 40,600 1,020
* Investment Technology Group, Inc. 24,400 232
* Investors Financial Services Corp. 4,562 94
* Investors Financial Services Corp.
Class A 877 18
* Iomega Corp. 32,500 1,582
* Ionics, Inc. 24,600 1,070
Irvine Apartment Communities, Inc. 40,100 772
* Irvine Sensors Corp. 55,100 334
Irwin Financial Corp. 14,300 570
* ISIS Pharmaceuticals, Inc. 59,600 786
* Isolyser Co., Inc. 29,800 421
* Itron, Inc. 17,500 597
J & L Specialty Steel Inc. 28,900 542
JLG Industries, Inc. 6,900 204
JSB Financial 19,800 629
* Jacobs Engineering Group Inc. 33,400 835
Jefferies Group, Inc. 14,958 697
Jefferson Bankshares, Inc. 23,800 480
John Alden Financial Group 41,000 856
* Johnson Worldwide Associates, Inc. 17,500 400
* Johnstown America Industries 38,200 184
* Jones Intercable Inc. 41,500 511
Juno Lighting, Inc. 30,800 485
Justin Industries, Inc. 59,850 655
KN Energy, Inc. 36,427 1,061
* Kaiser Aluminum & Chemical Corp. 36,500 475
Kansas City Life Insurance Co. 12,030 638
Kaufman & Broad Home Corp. 46,500 692
Kaydon Corp. 27,800 844
* Keane, Inc. 26,750 592
Kellwood Co. 36,750 749
* Kelly Oil Corp. 18,200 23
* Kent Electronics Corp. 23,850 1,392
* Key Tronic Corp. 38,800 320
Keystone Financial, Inc. 39,750 1,188
Kimball International, Inc. Class B 27,500 694
* Kinder Care Learning Centers Inc. 46,100 582
Kinetic Concepts, Inc. 57,200 690
* Kirby Corp. 43,600 708
* Koger Equity Inc. 60,500 643
Kranzco Realty Trust 33,800 499
* Kulicke & Soffa Industries, Inc. 32,000 740
Kysor Industrial Corp. 21,800 529
* LTX Corp. 47,000 429
La-Z-Boy Chair Co. 20,000 618
Laclede Gas Co. 25,900 547
Ladd Furniture Inc. 17,134 227
Lance, Inc. 23,700 387
Landauer, Inc. 35,500 772
* Landmark Graphics Corp. 22,100 522
* Lands' End, Inc. 40,700 555
* Landstar System 24,700 670
* Lattice Semiconductor Corp. 37,100 1,213
Lawson Products, Inc. 19,200 474
Lawter International Inc. 56,466 656
Leader Financial Corp. 16,700 625
* Lechters Corp. 25,200 162
Legg Mason Inc. 29,700 817
Lennar Corp. 38,650 971
Lesco, Inc. 32,000 472
* Level One Communications 37,000 675
* Levitz Furniture 147,200 497
Libbey, Inc. 20,300 457
Liberty Bancorp, Inc. (Oklahoma) 17,800 667
Liberty Corp. 24,500 827
Liberty Property Trust 46,100 957
Life Partners Group, Inc. 27,900 380
Life Re Corp. 25,400 635
Life Technologies, Inc. 25,300 682
* Lifetime Hoan Corp. 28,957 261
Lilly Industries Inc. Class A 48,550 619
* Lincare Holdings Inc. 44,200 1,099
Lincoln Telecommunications Co. 49,100 1,043
* Lindsay Manufacturing Co. 16,725 638
* Liposome Co., Inc. 73,400 1,477
Liqui-Box Corp. 17,200 510
* Littelfuse, Inc. 19,100 697
* Living Centers of America, Inc. 28,700 1,004
* Lo-Jack Corp. 32,000 356
Logicon, Inc. 19,700 542
Lone Star Industries, Inc. 31,500 788
Long Island Bancorp, Inc. 43,400 1,147
Longs Drug Stores, Inc. 25,000 1,197
Loyola Capital Corp. 13,400 509
</TABLE>
52
<PAGE> 92
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Luby's Cafeterias, Inc. 40,300 $ 897
Lufkin Industries 14,514 322
Lukens, Inc. 23,000 661
* Lydall, Inc. 29,900 680
MAF Bancorp, Inc. 22,880 578
* MAIC Holdings Inc. 21,511 723
MDU Resources Group, Inc. 47,825 951
MGI Properties, Inc. 37,200 623
MTS Systems Corp. 18,300 606
The Macerich Co. 27,800 556
* MacFrugal's Bargains Close-Outs, Inc. 43,100 603
The MacNeal-Schwendler Corp. 42,700 683
* Macromedia 49,600 2,582
Madison Gas & Electric Co. 16,250 568
* Magellan Health Services Corp. 45,700 1,097
* Magma Copper Co. Class B 79,600 2,219
Magna Group 45,800 1,093
* Magnatek 49,100 399
Manitowoc Co., Inc. 23,000 704
Manufactured Home
Communities, Inc. 41,000 717
* Manugistics Group, Inc. 25,600 371
* Mapinfo Corp. 18,200 373
* Marcam Corp. 23,700 356
* Marine Drilling Co., Inc. 47,000 235
* Mariner Health Group, Inc. 30,100 508
Mark Twain Bancshares, Inc. 20,550 801
* Marshall Industries 28,700 922
Maryland Federal Bancorp 14,900 454
MascoTech Inc. 52,300 569
* Material Sciences Corp. 28,300 421
Maxtor Corp. 76,500 509
* Maxicare Health Plans Inc. 28,100 760
* Maxxam Inc. 9,900 349
Maybelline, Inc. 21,593 783
* McAfee Associates, Inc. 30,300 1,299
McClatchy Newspapers, Inc. 23,900 547
McDonald and Co. Investments, Inc. 33,160 597
* McWorter Technologies Inc. 34,650 511
Measurex Corp. 18,600 525
* Medco Research, Inc. 17,300 179
Media General, Inc. Class A 2,700 82
* Medic Computer Systems, Inc. 20,300 1,226
* MedImmune Inc. 52,900 1,051
Medusa Corp. 27,550 730
* Mego Financial Corp. 49,100 334
Mentor Corp. 49,600 1,147
Merchants New York Bancorporation 10,600 337
* Mercury Interactive Corp. 18,800 338
Meredith Corp. 45,200 1,893
* Merisel, Inc. 5,700 25
Merrill Corp. 25,000 406
Merry Land & Investment Co., Inc. 49,339 1,166
* Mesa Airlines, Inc. 72,100 644
* Mesa, Inc. 108,700 408
Methode Electronics, Inc. Class A 51,600 735
* Metricom 34,200 462
* Metrocall, Inc. 22,100 420
* Metromedia International Group, Inc. 41,600 582
* Fred Meyer, Inc. 43,800 985
* Michaels Stores, Inc. 27,718 386
* Microage, Inc. 57,100 457
* Microcom Corp. 29,800 777
* Micron Electronics, Inc. 34,600 374
Mid Am Inc. 38,217 631
Mid-America Apartment
Communities, Inc. 26,800 663
Mid-America Bancorp 27,513 495
* Mid-American Waste Systems, Inc. 35,900 126
Midland Co. 11,300 555
Midwest Grain Products 30,100 433
Herman Miller, Inc. 41,500 1,255
Mills Corp. 40,900 695
Mine Safety Appliances Co. 12,100 594
Minerals Technologies, Inc. 37,300 1,361
Mississippi Chemical Corp. 35,500 832
* Mohawk Industries, Inc. 31,100 476
* Molten Metal Technology 28,200 920
The Money Store 72,000 1,125
* Morrison-Knudsen Co., Inc. 44,200 188
Morrison Restaurants 44,150 618
Mosinee Paper Corp. 13,700 358
* Mueller Industries Inc. 30,200 883
* Multicare Cos., Inc. 27,800 667
* Musicland Stores Corp. 58,200 247
Myers Industries, Inc. 11,470 188
NAC Re Corp. 29,050 1,046
* NFO Research Inc. 16,000 416
* N L Industries, Inc. 4,400 54
NN Ball and Roller 48,000 834
NPC International Class A 71,500 509
N.S. Bancorp Inc. 20,100 781
NYMAGIC, Inc. 25,800 439
* Nabors Industries, Inc. 141,100 1,570
NACCO Industries, Inc. Class A 12,500 694
Nash-Finch Co. 32,500 585
Nashua Corp. 11,400 155
National Bankcorp of Alaska Inc. 9,700 640
National Community Bancorp 28,850 757
National Computer Systems, Inc. 24,500 455
National Data Corp. 43,050 1,065
* National Education Corp. 80,700 656
National Health Investors REIT 26,700 884
National Penn Bancshares Inc. 14,705 364
National Presto Industries, Inc. 14,600 580
National Re Holdings Corp. 29,250 1,111
</TABLE>
53
<PAGE> 93
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* National Steel Corp. Class B 41,900 $ 539
* National Western Life Insurance Co.
Class A 11,000 624
NationsBank, Inc. 8,139 567
Nationwide Health Properties, Inc. 32,600 1,369
Nature's Sunshine Inc. 30,888 768
* Nautica Enterprises Inc. 40,357 1,750
Neiman Marcus Group Inc. 28,300 665
* Nellcor Puritan Bennett, Inc. 46,836 2,734
Thomas Nelson, Inc. 26,100 339
* Neopath, Inc. 8,500 196
* Netcom On-line Communication
Services, Inc. 11,600 415
* Netmanage, Inc. 48,700 1,126
* Network Computing Devices, Inc. 51,500 367
* Network Equipment Technologies 30,600 838
* Network General Corp. 30,600 1,014
* Neurogen Corp. 26,900 731
New England Business Service, Inc. 31,800 692
New Jersey Resources Corp. 29,600 892
New York Bancorp Inc. 34,400 774
* Newfield Exploration Co. 27,000 729
* Nexstar Pharmaceuticals Inc. 28,600 475
* Noble Drilling Corp. 112,100 1,002
* Norand Corp. 12,500 148
* Nortek, Inc. 52,208 613
North American Biologicals, Inc. 57,400 624
North American Mortgage 23,500 499
North Carolina Natural Gas Corp. 21,736 543
North Fork Bancorporation, Inc. 41,100 1,038
Northwest Natural Gas Co. 23,100 757
Northwestern Public Service Co. 26,300 736
* Northwestern Steel and Wire Co. 30,800 246
* NovaCare, Inc. 108,700 557
* Novavax, Inc. 36,500 137
* Noven Pharmaceuticals, Inc. 46,800 524
* Nuevo Energy Co. 28,200 631
* Nu-Kote Holding, Inc. Class A 48,000 822
OEA, Inc. 26,100 780
* OHM Corp. 57,000 420
* OIS Optical Imaging Systems, Inc. 87,600 337
OM Group, Inc. 21,200 700
* OMI Corp. 92,700 603
* Oak Industries, Inc. 29,200 547
Oakwood Homes Corp. 36,800 1,412
Oasis Residential, Inc. 27,100 617
* Oceaneering International, Inc. 68,500 882
* Octel Communications Corp. 36,800 1,189
* Offshore Logistics, Inc. 52,900 668
Oil-Dri Corp. of America 30,175 471
* Old Dominion Freight Line, Inc. 33,836 279
* Olympic Financial Ltd. 25,800 421
* Omega Environmental, Inc. 70,300 233
Omega Healthcare Investors, Inc. 35,200 937
Omnicare, Inc. 33,700 1,508
Onbancorp Inc. 22,900 766
One Valley Bancorp of
West Virginia Inc. 23,200 725
Oneida Ltd. 33,490 590
ONEOK, Inc. 45,000 1,029
* Open Environment Corp. 29,300 396
* Opti, Inc. 21,100 174
* Optical Data System Inc. 21,900 545
Orange & Rockland Utilities, Inc. 22,000 786
* Orbital Sciences Corp. 37,200 465
Oregon Steel Mills, Inc. 23,600 330
* Organogenesis, Inc. 39,100 718
Orion Capital Corp. 23,325 1,012
* OrNda Healthcorp 91,100 2,112
* Ostex International, Inc. 26,600 502
O'Sullivan Corp. 43,800 454
Otter Tail Power Co. 17,200 617
Outboard Marine Corp. 33,300 678
Overseas Shipholding Group Inc. 46,200 878
Owens & Minor, Inc. Holding Co. 43,237 551
* PDT, Inc. 9,150 454
PHH Corp. 28,200 1,318
* Pacific Physician Services, Inc. 36,200 647
Pacific Scientific Co. 33,000 817
* Pairgain Technologies, Inc. 26,800 1,461
* Palmer Wireless, Inc. 20,700 453
Paragon Group Inc. 42,600 740
* Paragon Trade Brands, Inc. 25,300 591
Parker & Parsley Petroleum Co. 60,600 1,333
* Parker Drilling Co. 84,400 517
* Patlex Corp. 5,300 81
* Patterson Dental Co. 17,100 464
* Paxson Communications Corp. 41,100 627
* Pec Israel Economic Corp. 23,400 565
* The Penn Traffic Co. 44,600 669
Penncorp Financial Group Inc. 34,100 1,002
Pennsylvania Real Estate
Investment Trust 27,900 579
Penwest Ltd. 22,450 550
Peoples Bank of Bridgeport 1,600 31
Peoples Heritage Financial
Group Inc. 27,600 624
* Performance Food Group Co. 4,800 116
* Petco Animal Supplies, Inc. 15,900 473
* Petrie Stores Corp. 102,200 281
Petroleum Heat & Power Co. 12,400 99
Petrolite Corp. 17,200 479
* Phamis, Inc. 17,100 513
* Pharmaceutical Markets 42,900 641
* Pharmaceutical Resources, Inc. 63,300 475
Phillips-Van Heusen Corp. 39,700 392
</TABLE>
54
<PAGE> 94
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
Phoenix Duff & Phelps Corp. 75,000 $ 516
Phoenix Duff & Phelps Corp.
Pfd. Series A 4,100 103
Phoenix Resource Cos., Inc. 41,800 721
* Phycor, Inc. 59,825 3,029
* Physician Reliance Network, Inc. 12,500 502
* Physician Sales & Service, Inc. 35,800 1,011
* PictureTel Corp. 54,200 2,331
Piedmont Natural Gas, Inc. 49,984 1,162
Pier 1 Imports Inc. 63,125 718
Pillowtex Designs 32,800 381
Pioneer Group Inc. 35,200 946
Pioneer Standard Electronics Inc. 36,650 483
Piper Jaffray Cos., Inc. 28,100 386
Pittway Corp. Class A 18,900 1,280
* Plantronics, Inc. 5,100 184
* Platinum Technology, Inc. 68,677 1,266
* Players International, Inc. 47,850 514
* Playtex Products, Inc. 76,700 575
Ply-Gem Industries, Inc. 33,900 551
Poe & Brown, Inc. 18,600 458
* Polyvision Corp. 5,383 11
Pope & Talbot, Inc. 36,100 478
Post Properties, Inc. 36,300 1,157
Precision Castparts Corp. 35,000 1,390
Premier Bancorp, Inc. 58,290 1,359
* Premisys Communications, Inc. 17,000 961
* Prepaid Legal Services, Inc. 72,600 753
* President Casinos 9,200 16
Price Enterprises, Inc. 41,800 635
* Pricellular Corp. 42,575 553
* Primadonna Resorts, Inc. 14,000 203
* Primark Corp. 31,500 945
* Prime Hospitality Corp. 51,700 517
* Prins Recycling Corp. 44,800 335
* Printronix, Inc. 19,700 281
* Proffitt's, Inc. 28,900 762
* Progress Software Corp. 25,200 939
* Pronet, Inc. 19,000 562
Protective Life Corp. 48,300 1,509
* Protein Design Labs 33,400 768
Provident Bancorp Inc. 15,100 712
* Public Service Co. of New Mexico 72,100 1,271
Public Service Co. of
North Carolina, Inc. 31,000 554
Public Storage, Inc. 53,000 1,007
Pulitzer Publishing Co. 15,112 722
Pulte Corp. 32,700 1,100
Quaker Chemical Corp. 23,100 306
Quaker State Corp. 52,300 660
Quality Food Centers Inc. 14,788 327
Quanex Corp. 21,600 419
* Quantum Health Resources, Inc. 3,100 30
* Quarterdeck Corp. 38,900 1,070
Queens County Bancorp, Inc. 10,650 421
The Quick & Reilly Group, Inc. 22,650 464
* Quickturn Design Systems, Inc. 48,600 480
* Quintiles Transnational Corp. 20,200 826
RCSB Financial Corp. 39,800 940
RFS Hotel Investors 39,200 610
ROC Communities Inc. 18,000 432
* RPC Inc. 45,000 411
RPS Realty Trust 113,300 524
* Racotek, Inc. 59,800 314
* RailTex, Inc. 25,300 536
* Ralcorp Holdings Inc. 51,000 1,237
Raymond James Financial, Inc. 23,200 490
* Reading & Bates Corp. 106,100 1,591
Real Estate Investment Trust of
California 33,200 660
Realty Income Corp. 35,800 805
* Redman Industries, Inc. 22,800 767
Regal-Beloit Corp. 30,500 663
* Regal Cinemas, Inc. 25,920 761
* Regency Health Services, Inc. 42,800 433
* Regional Acceptance Corp. 45,650 434
Reinsurance Group of America, Inc. 27,100 993
Reliance Group Holdings 63,500 548
* Renaissance Communications 48,600 1,075
* Renal Treatment Centers, Inc. 17,200 757
* Republic Industries, Inc. 58,900 2,117
* Res-Care, Inc. 24,000 408
Resource Mortgage Capital Corp. 33,400 668
* Respironics, Inc. 48,300 1,002
* Rex Stores Corp. 27,500 488
Richfood Holdings, Inc. 41,100 1,110
* Riggs National Corp. 55,900 723
* Rightchoice Managed Care, Inc. 20,000 260
Rival Manufacturing Co. 33,100 739
River Forest Bancorp, Inc. 24,700 627
Robbins & Myers, Inc. 23,089 675
* Robert Half International, Inc. 36,800 1,541
* Roberts Pharmaceuticals 12,300 217
* Robotic Vision Systems, Inc. 37,800 910
Rock-Tenn Co. 46,800 749
* Rohr, Inc. 30,500 438
* Rollins Environmental Services, Inc. 81,337 234
Rollins Truck Leasing 65,025 723
Roosevelt Financial Group 58,000 1,117
Roper Industries Inc. 24,800 927
Ross Stores, Inc. 39,000 753
Rouge Steel Co. Class A 27,900 663
* Rowan Cos., Inc. 140,800 1,390
* Royal Gold, Inc. 14,800 119
Ruddick Corp. 49,200 566
Russ Berrie, Inc. 38,300 484
</TABLE>
55
<PAGE> 95
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Ryan's Family Steak Houses, Inc. 83,100 $ 582
Rykoff-Sexton, Inc. 28,125 492
Ryland Group, Inc. 40,500 567
S & T Bancorp, Inc. 12,100 366
* SCI Systems, Inc. 49,800 1,538
SEI Corp. 25,400 546
SFFED Corp. 35,700 1,129
* SPS Technologies, Inc. 16,000 854
SPX Corp. 38,100 605
* S3, Inc. 77,300 1,358
* Safeguard Scientifics, Inc. 21,250 1,052
* Safety First Inc. 19,900 297
St. John Knits, Inc. 11,700 622
St. Joseph Light & Power Co. 16,900 600
St. Mary Land & Exploration Co. 39,000 546
St. Paul Bancorp, Inc. 29,250 748
* Salick Healthcare Inc. 10,300 384
* Samsonite Corp. 29,300 293
* Sanifill, Inc. 26,700 891
* Sanmina Corp. 13,600 707
* Santa Cruz Operation, Inc. 68,300 431
Saul Centers, Inc. 39,900 544
Savannah Foods & Industries, Inc. 61,400 698
* Savoy Pictures Entertainment, Inc. 42,900 271
Sbarro, Inc. 15,300 329
Schnitzer Steel Industries, Inc.
Class A 16,100 491
* Scholastic Corp. 900 70
* Sciclone Pharmaceuticals 60,200 297
* Scientific Games Holdings Corp. 20,000 760
* Scios Nova, Inc. 19,335 82
Scotsman Industries, Inc. 32,900 580
* Scotts Co. 41,500 801
Seafield Capital Corp. 17,000 586
* Seagull Energy Corp. 56,300 1,253
Sealright Co. 16,100 177
* Seattle Filmworks, Inc. 18,612 394
Security Capital Corp. 17,400 1,054
Security Capital Industrial Trust 11,316 198
Security Connecticut Corp. 28,500 773
* Security Dynamics Technologies, Inc. 22,600 1,237
* Seitel, Inc. 27,900 987
Selective Insurance Group 24,200 862
* Semitool, Inc. 20,800 269
* Sepracor Inc. 52,200 966
* Sequa Corp. Class A 20,500 625
* Sequent Computer Systems, Inc. 53,000 762
* Sequus Pharmaceuticals, Inc. 46,400 655
* Service Merchandise Co., Inc. 160,512 803
* Shiva Corp. 16,700 1,219
Shopko Stores, Inc. 58,400 657
* Shoney's Inc. 56,700 581
* Shorewood Packaging 45,000 647
* Show Biz Pizza Time, Inc. 44,000 531
Showboat, Inc. 24,800 654
* Shuffle Master, Inc. 33,650 400
Shurgard REIT 22,800 616
* Sierra Health Services 23,700 752
* Sierra On-line, Inc. 25,100 718
Sierra Pacific Resources 49,800 1,164
* Sierra Semiconductor 40,800 569
Sig Corp. 25,333 880
* Silver King Communications 14,300 493
Simpson Industries, Inc. 44,700 397
* Simula, Inc. 19,200 360
* Sithe Energies, Inc. 11,400 68
Sizzler International 121,200 515
Skyline Corp. 32,200 668
Skywest, Inc. 10,200 133
A.O. Smith Corp. 25,100 521
* Smith International, Inc. 62,800 1,476
Charles E. Smith Residential
Realty, Inc. 23,200 548
* Smithfield Foods, Inc. 33,200 1,062
Smiths Food & Drug Centers, Inc.
Class B 30,900 780
J.M. Smucker Co. Class A 54,300 1,195
J.M. Smucker Co. Class B 1,000 19
Snyder Oil Corp. 41,200 500
* Sodak Gaming, Inc. 25,800 532
* Sofamor/Danek Group Inc. 27,600 783
* Softkey International, Inc. 30,200 695
* Sola International, Inc. 42,800 1,081
* Somatogen, Inc. 27,400 519
* Sonic Corp. 40,350 757
Sotheby's Holdings Class A 70,200 1,000
South Jersey Industries, Inc. 28,236 653
South West Property Trust 56,400 761
Southdown, Inc. 27,100 528
Southern California Water Co. 28,400 575
* Southern Energy Homes, Inc. 1,750 30
Southwest Gas Corp. 39,600 698
Southwestern Energy Co. 38,000 485
Sovereign Bancorp, Inc. 64,524 649
* Spacelabs Medical 30,100 862
Spartan Motors, Inc. 51,100 556
* Special Devices, Inc. 22,100 293
* Spectrian Corp. 24,600 541
* Spectrum Holobyte 38,400 247
Spieker Properties, Inc. 46,000 1,156
* Sportmart Inc. 26,600 126
* Sportmart Inc. Class A 7,800 26
* Sports & Recreation 8,500 61
* The Sports Authority, Inc. 24,300 495
* Staar Surgical Co. 49,100 525
* Stac, Inc. 60,500 870
</TABLE>
56
<PAGE> 96
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Standard Commercial Tobacco Co. 32,578 $ 322
* Standard Financial, Inc. 49,300 727
* Standard Microsystem 6,400 106
Standard Motor Products, Inc. 29,700 446
Standard Products Co. 24,725 436
The Standard Register Co. 31,200 628
Standex International Corp. 19,700 645
Stanhome, Inc. 30,000 874
L. S. Starrett Co. Class A 24,600 637
* Station Casinos, Inc. 36,800 543
Steel Technologies, Inc. 40,450 354
* Stein Mart, Inc. 23,650 257
* Steris Corp. 39,000 1,253
* Sterling Chemicals, Inc. 62,400 507
* Stillwater Mining 22,000 429
Stone & Webster, Inc. 20,500 735
Storage USA, Inc. 28,200 920
* Stratus Computer, Inc. 41,400 1,433
Strawbridge & Clothier Class A 27,257 664
Stride Rite Corp. 82,100 616
* Structural Dynamics Research Corp. 52,300 1,530
Sturm, Ruger & Co., Inc. 15,200 416
* Submicron Systems Corp. 39,400 372
Sumitomo Bank of California 10,584 266
* Summa Four, Inc. 29,400 397
Summit Bancorp 56,340 1,768
Summit Properties, Inc. 31,900 634
* Summit Technology, Inc. 48,500 1,643
* Sun Healthcare Group, Inc. 56,500 763
* Sun Television & Appliances 73,100 302
* Sunglass Hut International, Inc. 91,600 2,164
* Sunrise Medical, Inc. 26,500 490
* Sunshine Mining and Refining Co. 286,400 394
Super Food Services, Inc. 42,300 550
Susquehanna Bankshares PA 18,300 480
* Swift Transportation Co., Inc. 34,200 517
* Sylvan Learning Systems, Inc. 19,100 561
* Symmetricom Inc. 24,400 334
* Syratech Inc. 25,100 505
System Software Associates, Inc. 45,300 980
* Systemed Inc. 48,500 221
* Systems & Computer
Technology Corp. 42,000 840
* Systemsoft Corp. 34,200 389
* TBC Corp. 71,000 604
TCA Cable Television, Inc. 25,000 695
* TCSI Corp. 19,900 363
* TFC Enterprises, Inc. 33,200 191
TJ International, Inc. 30,000 548
* T-Netix, Inc. 31,300 305
TNP Enterprises, Inc. 34,000 637
TNT Freightways 33,800 680
TR Financial Corp. 28,000 718
* Target Therapeutics, Inc. 27,200 1,166
Taubman Co. REIT 77,000 770
* Tech Data Corp. 57,400 865
* Tech-Sym Corp. 20,549 655
* Tecnol Medical Products Inc. 34,400 611
* Tejas Gas Corp. 15,210 804
* Tejas Power Corp. Class A 50,600 462
Tejon Ranch Co. 34,400 499
Teleflex Inc. 30,150 1,236
* Telular Corp. 19,800 166
Telxon Corp. 37,000 830
Tennant Co. 11,300 263
* Tesoro Petroleum Corp. 72,500 625
* Tetra Tech, Inc. 25,650 596
* Tetra Technologies, Inc. 45,900 803
Texas Industries, Inc. 16,960 899
* Texas Meridian Resources Corp. 49,600 676
* Theratech, Inc. 32,400 575
* Thermedics, Inc. 38,400 1,066
* Thermo Fibertek, Inc. 900 20
Thermo Remediation, Inc. 27,200 360
* Thermo Terratech Inc. 35,600 405
* Thermolase Corp. 19,000 492
* Thermotrex Corp. 15,200 760
Thiokol Corp. 27,700 938
* 3DO Co. 20,700 210
* Tide West Oil Co. 23,801 318
Tiffany & Co. 22,750 1,146
* Timberland Co. 24,400 485
Titan Wheel International, Inc. 16,800 273
* Tivoli Systems, Inc. 23,500 789
* Today's Man Inc. 52,400 154
* Toll Brothers, Inc. 35,000 805
Tootsie Roll Industries, Inc. 27,726 1,099
* Top Source Technologies, Inc. 48,000 336
* The Topps Co., Inc. 29,025 152
The Toro Co. 20,100 661
Town & Country Trust 49,800 647
* Toy Biz 27,300 594
* Tracor, Inc. 45,359 663
* Transaction Network Services, Inc. 19,500 483
Transnational Re Corp. 20,300 502
Tredegar Industries Inc. 21,200 689
* Tremont Corp. 16,765 279
Trenwick Group Inc. 14,800 834
* Triarc Cos. Class A 39,000 429
* Trident Microsystems, Inc. 30,800 724
* Trimble Navigation Ltd. 35,900 673
Trinet Corporate Realty Trust, Inc. 23,300 635
True North Communications 28,500 527
The Trust Co. of N.J. 47,600 625
Trustco Bank 36,610 808
Trustmark Corp. 41,500 929
</TABLE>
57
<PAGE> 97
<TABLE>
<CAPTION>
Market
SMALL CAPITALIZATION Value
STOCK PORTFOLIO (continued) Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Tucson Electric Power Co. 253,700 $ 825
* Tultex Corp. 104,000 429
* 20th Century Industries of CA 61,400 1,220
* Tyco Toys, Inc. 50,900 229
UGI Corp. Holding Co. 55,000 1,141
UMB Financial Corp. 29,436 1,019
UNR Industries, Inc. 58,500 508
* USA Waste Service 76,691 1,448
UST Corp. 37,300 532
* Ultralife Batteries, Inc. 26,900 637
* Ultratech Stepper, Inc. 16,000 412
Unifirst Corp. 31,200 562
* Unilab Corp. 23,100 62
Union Planters Corp. 573 18
* Union Switch and Signal, Inc. 39,400 271
* Uniroyal Chemical Corp. 33,600 271
* United American Healthcare Corp. 33,300 333
United Bankshares, Inc. 25,600 749
United Carolina Bancshare Corp. 23,800 812
United Cities Gas Co. 36,304 690
United Cos. Finance Corp. 38,102 1,010
United Counties Bancorp 2,000 457
United Dominion Realty 95,300 1,429
United Fire & Casualty Co. 15,150 629
United Illuminating Co. 22,650 847
* United Insurance Cos., Inc. 48,700 916
* United International Holdings, Inc.
Class A 66,100 967
* United Meridian Corp. 41,600 723
* USAir Group, Inc. 108,100 1,432
* U.S. Filter Corp. 30,200 804
* U.S. Home Corp. 6,200 181
* U.S. Long Distance Corp. 40,700 562
* U.S. Robotics Corp. 4,800 422
United States Trust Corp. 15,600 772
United Television, Inc. 7,000 626
* United Video Satellite Group, Inc. 23,300 635
* United Waste Systems, Inc. 22,800 844
United Water Resources, Inc. 51,768 621
United Wisconsin 6,500 143
* Unitrode Corp. 27,400 774
Univar Corp. 40,300 438
Universal Health Realty Income 34,000 608
* Universal Health Services Class B 25,500 1,132
Urban Shopping Centers REIT 19,800 423
* Uromed Corp. 14,800 187
* VLSI Technology, Inc. 7,000 126
* Valassis Communication 52,900 926
Valley National Bancorp 60,842 1,521
Valmont Industries, Inc. 25,200 617
* Value City Department Stores, Inc. 64,100 433
Value Line, Inc. 12,000 452
* Varco International, Inc. 67,700 812
Varlen Corp. 20,315 439
* Ventritex Inc. 33,100 581
* Venture Stores, Inc. 47,300 160
* VeriFone, Inc. 36,750 1,052
* Vertex Pharmaceuticals, Inc. 30,900 807
Vesta Insurance Group, Inc. 17,900 976
* Vicorp Restaurants, Inc. 10,100 102
Victoria Bank 19,500 665
* Viewlogic Systems, Inc. 32,800 332
* Visix Space Inc. 10,300 403
Vital Signs, Inc. 25,000 666
* Vitesse Semiconductor Corp. 42,700 539
* Vivra, Inc. 57,712 1,450
* Vivus, Inc. 32,800 1,019
WD-40 Co. 10,750 438
* WHX Corp. 36,500 397
* WMS Industries, Inc. 28,050 459
WPS Resources Corp. 40,800 1,387
* Waban, Inc. 53,900 1,011
Wabash National Corp. 31,500 701
Wackenhut Corp. 11,500 207
Wackenhut Corp. Class B 625 10
* Wainoco Oil Corp. 127,200 413
* Wall Data Inc. 15,800 259
* Wang Laboratories, Inc. 56,200 941
Washington Energy Co. 40,231 749
Washington National Corp. 20,818 575
Washington Real Estate
Investment Trust 52,050 826
Waterhouse Investor Services, Inc. 28,550 707
Watkins-Johnson Co. 11,700 512
* Watson Pharmaceuticals, Inc. 51,954 2,546
Watts Industries Class A 31,900 742
Wausau Paper Mills Co. 37,786 1,039
* Wavephore, Inc. 22,700 444
* Weatherford Enterra Inc. 90,939 2,626
Del E. Webb Corp. 30,296 610
* Weirton Steel 88,600 365
* Wellcare Management Group, Inc. 20,700 440
Wellsford Residential Property Trust 26,425 608
Werner Enterprises, Inc. 22,000 440
West Co., Inc. 26,300 618
* West Marine, Inc. 14,900 467
WestAmerica Bancorporation 13,400 576
* Westcott Communications 31,700 440
Western Bank 91 2
Western Gas Resources, Inc. 24,500 395
Western Investment Real
Estate Trust 55,000 591
Western National Corp. 52,300 843
* Western Publishing Group, Inc. 55,300 439
* Western Waste Industries 36,200 991
* Westpoint Stevens, Inc. 35,200 702
</TABLE>
58
<PAGE> 98
<TABLE>
<CAPTION>
Market
Value
Shares (000)+
- --------------------------------------------------------------------------------
<S> <C> <C>
* Westwood One, Inc. 34,200 $ 481
* White River 17,126 642
Whitney Holdings 24,050 740
* Whittaker Corp. 32,900 716
Wicor, Inc. 27,300 880
John Wiley & Sons Class A 21,800 714
* Williams Sonoma, Inc. 29,362 545
* Wind River Systems 22,800 660
* Windmere Corp. 76,467 545
Winnebago Industries, Inc. 55,800 432
Wiser Oil Co. 38,900 467
* Wolverine Tube, Inc. 22,400 840
Wolverine World Wide, Inc. 29,900 942
* Wonderware Corp. 12,600 213
Woodhead Industries, Inc. 43,150 609
Wyle Electronics 25,700 903
* Wyman Gordon Corp. 58,900 810
X-Rite Inc. 13,400 193
* Xircom, Inc. 51,800 647
* Xpedite Systems, Inc. 24,500 380
Yellow Corp. 31,800 396
* Young Broadcasting Corp. 10,100 280
* Zale Corp. 52,200 838
* Zebra Technologies Class A 29,600 1,014
* Zenith Electronics Corp. 35,321 243
Zenith National Insurance Corp. 22,000 470
Zero Corp. 50,500 896
* Zilog Inc. 33,450 1,225
Zions Bancorp. 24,100 1,940
Zurn Industries, Inc. 23,700 507
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (99.0%)(1)
(Cost $777,982) 961,789
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TEMPORARY CASH INVESTMENTS (1.5%)
- --------------------------------------------------------------------------------
Face
Amount
(000)
---------
<S> <C> <C>
U.S. TREASURY BILL--Note D
5.33%, 3/21/96 $ 500 495
REPURCHASE AGREEMENT
Collateralized by U.S. Government
Obligations in a Pooled Cash
Account 5.89%, 1/2/96 14,015 14,015
- --------------------------------------------------------------------------------
TOTAL TEMPORARY CASH INVESTMENTS
(Cost $14,510) 14,510
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.5%)
(Cost $792,492) 976,299
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Market
Value
(000)+
- --------------------------------------------------------------------------------
<S> <C>
OTHER ASSETS AND LIABILITIES (-.5%)
- --------------------------------------------------------------------------------
Other Assets--Notes B and E $ 37,102
Liabilities--Note E (42,168)
--------
(5,066)
- --------------------------------------------------------------------------------
NET ASSETS (100%)
- --------------------------------------------------------------------------------
Applicable to 52,196,290 outstanding
shares of beneficial interest
(unlimited authorization) $971,233
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $18.61
================================================================================
</TABLE>
+ See Note A to Financial Statements.
* Non-Income Producing Security.
(1) The combined market value of common stocks, New York Stock Exchange
Composite Index futures contracts, and Standard & Poor's Midcap 400 Index
futures contracts represents 100.0% of net assets.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
AT DECEMBER 31, 1995,
NET ASSETS CONSISTED OF:
- --------------------------------------------------------------------------------
Amount Per
(000) Share
--------- ---------
<S> <C> <C>
Paid in Capital $780,052 $14.95
Undistributed Net
Investment Income 49 --
Accumulated Net
Realized Gains 7,411 .14
Unrealized Appreciation
(Depreciation) - Note D:
Investment Securities 183,807 3.52
Futures Contracts (86) --
- --------------------------------------------------------------------------------
NET ASSETS $971,233 $18.61
- --------------------------------------------------------------------------------
</TABLE>
59
<PAGE> 99
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees
Vanguard Index Trust
Extended Market Portfolio, Total Stock Market Portfolio,
Growth Portfolio, Value Portfolio, and Small Capitalization Stock Portfolio
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights appearing in the Vanguard Index Trust (the "Fund") 1995 Annual
Report (the "Annual Report") present fairly, in all material respects, the
financial position of the Extended Market Portfolio, Total Stock Market
Portfolio, Growth Portfolio, Value Portfolio, and Small Capitalization Stock
Portfolio of the Fund at December 31, 1995, and the results of each of their
operations, the changes in each of their net assets and the financial
highlights for each of the respective periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities by correspondence with
the custodians and brokers and the application of alternative auditing
procedures where confirmations from brokers were not received, provide a
reasonable basis for the opinion expressed above.
We have also audited the financial statements of the 500 Portfolio of the Fund
at December 31, 1995, and we have issued an unqualified opinion thereon. The
Annual Report containing our report on the financial statements of the 500
Portfolio is available from the Fund.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
January 31, 1996
F400-12/95
60
<PAGE> 100
VANGUARD INDEX TRUST
EDGAR APPENDIX
This appendix describes the components of the printed version of this report
that do not translate into a format acceptable to the EDGAR system.
The cover of the printed version of this report features Thomas Luny's 1830
painting "The Battle Of The Nile"
A photograph of John C. Brennan and John C. Bogle appears on the inside cover
top-center.
A running head featuring a sword, helmet, gloves and battleships in the
background appear at the top of pages one through eight.
Line charts illustrating annual total returns between Standard & Poor's Growth
Index and Standard & Poor's Value Index for the fiscal years 1990 through 1995.
Line charts illustrating the indexed value between Standard & Poor's 500 Index,
Wilshire 4500 Index and Russell 2000 Index for the years 1990 through 1995
appears at the top of page two.
Graphic chart of General Equity Funds outperformed by S&P 500 Index for the
fiscal years 1971 through 1995 appears at the bottom of page four.
A graphic chart of the Growth and Value Funds versus Index Trust 500 for the
ten years ended December 31, 1995 appears at the top of page six.
A running head featuring an hour glass, compass and telescope, and battleships
in the background appears at the top of page nine.
A running head featuring a sword, helmet, gloves and battleships in the
background appears at the top of pages ten through twelve.
Line charts illustrating cumulative performance between the 500 Portfolio,
average General Equity Fund and Standard & Poor's 500 Index, average Annual
Total Returns for the period December 31, 1985, to December 31, 1995 appears at
the top of page ten.
Line charts illustrating cumulative performance between the Extended Market
Portfolio, Average Growth Fund and Wilshire 4500 Index, average Annual Total
Returns for the period December 21, 1987, to December 31, 1995 appears at the
bottom of page ten.
Line charts illustrating cumulative performance between the Total Stock Market
Portfolio, Average General Equity Fund and Wilshire 5000 Index, average Annual
Total Returns of the period April 27, 1992, to December 31, 1995 appears at the
top of page eleven.
<PAGE> 101
Line charts illustrating cumulative performance between the Growth Portfolio,
Average Growth Fund and Standard & Poor's Growth Index, average Annual Total
Returns for the period November 2, 1992, to December 31, 1995 appears at the
bottom of page eleven.
Line charts illustrating cumulative performance between the Value Portfolio,
Average Value Fund and Standard & Poor's Value Index, average Annual Total
Returns for the period November 2, 1992, to December 31, 1995 appears at the
top of page twelve.
Line charts illustrating cumulative performance between the Small
Capitalization Stock Portfolio, Average SmallCap Fund and Russell 2000 Index,
average Annual Total Returns for the period December 31, 1985, to December 31,
1995 appears at the bottom of page twelve.
A running head featuring a cannon and battleships in the background appears at
the top of page thirteen.
A running head featuring open log book, pen and battleships in the background
appears at the top of pages fourteen through thirty four.
A running head featuring an hour glass, compass and telescope, and battleships
in the background appears at the top of page thirty five.
A running head featuring a sextant, a map, and battleships in the background
appears at the top of page thirty six.
A running head featuring birds flying and ships in the background appears at
the top of the inside back cover.
A running head featuring open log book, pen and battleships in the background
appears at the top of pages one through sixty of the Financial Statements
(insert).
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